Numerical Methods for Stochastic Control Problems in Continuous Time
- 1 September 1990
- journal article
- research article
- Published by Society for Industrial & Applied Mathematics (SIAM) in SIAM Journal on Control and Optimization
- Vol. 28 (5) , 999-1048
- https://doi.org/10.1137/0328056
Abstract
No abstract availableKeywords
This publication has 41 references indexed in Scilit:
- Resolution numerique d'equations d'hamilton-jacobi-bellman au moyen d'algorithmes multigrilles et d'iterations sur les politiquesPublished by Springer Nature ,2006
- Martingale measures and stochastic calculusProbability Theory and Related Fields, 1990
- Adaptive aggregation methods for infinite horizon dynamic programmingIEEE Transactions on Automatic Control, 1989
- Statistical reliability practice from sampling theory to stochastic filteringReliability Engineering & System Safety, 1989
- Ergodic Control of Multidimensional Diffusions I: The Existence ResultsSIAM Journal on Control and Optimization, 1988
- Approximations and bounds for discrete-time nonlinear filteringPublished by Springer Nature ,1982
- On approximation methods for nonlinear filteringPublished by Springer Nature ,1982
- Optimal Control TheoryPublished by Springer Nature ,1974
- Markov ProcessesPublished by Springer Nature ,1965
- Markov Chains with Stationary Transition ProbabilitiesPublished by Springer Nature ,1960