An algorithm for solving a stochastic control problem

被引：2
|
作者：
Mazliak, L [1 ]
机构：
[1] UNIV PARIS 06, PROBABIL LAB, F-75252 PARIS, FRANCE
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 1996年 / 14卷 / 05期
关键词：
D O I：
10.1080/07362999608809455
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
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.
引用
收藏
页码：513 / 533
页数：21
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