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An approximation scheme for the optimal control of diffusion processes

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References

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1977Probability Methods for Approximations in Stochastic Control and for Elliptic Equations343 cited
1983Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application218 cited

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2008Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions41 cited
2018On the Discretization of Some Nonlinear Fokker--Planck--Kolmogorov Equations and Applications34 cited
2009A Finite Element Like Scheme for Integro-Partial Differential Hamilton–Jacobi–Bellman Equations32 cited
2016Piecewise constant policy approximations to Hamilton–Jacobi–Bellman equations28 cited
2016An unconditionally monotone numerical scheme for the two-factor uncertain volatility model28 cited

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