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An approximation scheme for the optimal control of diffusion processes · Study

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ArticleAn approximation scheme for the optimal control of diffusion processes

Fabio Camilli1995

OA

Articlebronze1995

An approximation scheme for the optimal control of diffusion processes

Fabio Camilli · Maurizio Falcone

124 citations·0/0 files stored·ESAIM Mathematical Modelling and Numerical Analysis

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Stochastic processes and financial applications Advanced Numerical Methods in Computational Mathematics Adaptive Dynamic Programming Control

Abstract

An approximation scheme for the optimal control of diffusion processes

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References

2005Controlled Markov Processes and Viscosity Solutions 1990Numerical Methods for Stochastic Control Problems in Continuous Time 1992Numerical Methods for Stochastic Control Problems in Continuous Time 1977Probability Methods for Approximations in Stochastic Control and for Elliptic Equations 1983Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application

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2003ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS 2015A semi-Lagrangian scheme for a degenerate second order mean field game system 2008Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions 2018On the Discretization of Some Nonlinear Fokker--Planck--Kolmogorov Equations and Applications 2009A Finite Element Like Scheme for Integro-Partial Differential Hamilton–Jacobi–Bellman Equations

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Details

Year1995

Typearticle

Published1995-01-01

VenueESAIM Mathematical Modelling and Numerical Analysis

ISSN-L0764-583X

Languageen

Citations124

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1051/m2an/1995290100971

openalex_workW61439753

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