An approximation scheme for the optimal control of diffusion processes
Author:
Publisher
EDP Sciences
Subject
Applied Mathematics,Modeling and Simulation,Numerical Analysis,Analysis,Computational Mathematics
Link
http://www.esaim-m2an.org/10.1051/m2an/1995290100971/pdf
Reference26 articles.
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2. [BS] BARLES G.,SOUGANIDIS P. E., 1991, Convergence of approximation schemes for fully non linear second order equations, Asymptotic Analysis, 4, 271-282.11159330729.65077
3. [BCM] BANCORA-IMBERT M.-C., CHOW P.-L., MENALDI J.-L., 1989, On the numerical approximation of an optimal correction problem, SIAM J. Sci Statist. Comput., 9, 970-991.9638500661.65150
4. [BeS] BERTSEKAS D. P., SHREVE S., 1978, Stochastic Optimal Control: the discrete time case, Academic Press, New York.5115440471.93002
5. [C] CAPUZZO-DOLCETTA I., 1983, On a discrete approximation of the Hamilton-Jacobi equation of Dynamic Programming, Appl. Math. Optim., 10, 367-377.7134830582.49019
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