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An algorithm for solving a stochastic control problem

 

作者: L. Mazliak,  

 

期刊: Stochastic Analysis and Applications  （Taylor Available online 1996）
卷期: Volume 14, issue 5  

页码: 513-533

 

ISSN:0736-2994

 

年代: 1996

 

DOI:10.1080/07362999608809455

 

出版商: Marcel Dekker, Inc.

 

数据来源: Taylor

 

摘要:

In this paper, we introduce the stochastic extension of an algorithm of Bonnans to solve a control of diffusion problem. We also obtain results concerning the convergence of this algorithm

 

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