Affiliation:
1. School of Mathematics and Statistics, Southwest University, Chongqing 400715, China
Abstract
Abstract
In this work, a time-implicit discretization for stochastic linear quadratic problems subject to stochastic differential equations with control-dependence noises is proposed, and the convergence rate of this discretization is proved. Compared to the existing results, the control variables are stochastic processes and can be contained in systems’ diffusion term. Based on this discretization, a gradient descent algorithm and its convergence rate are presented. Finally, a numerical example is provided to support the theoretical finding.
Funder
National Natural Science Foundation of China
Chongqing Natural Science Foundation
Publisher
Oxford University Press (OUP)
Subject
Applied Mathematics,Control and Optimization,Control and Systems Engineering
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