Numerical Methods for Continuous-Time Stochastic Control Problems

Encyclopedia of Systems and Control ◽

10.1007/978-3-030-44184-5_232 ◽

2021 ◽

pp. 1534-1539

Author(s):

George Yin

Keyword(s):

Numerical Methods ◽

Stochastic Control ◽

Continuous Time ◽

Control Problems ◽

Stochastic Control Problems ◽

Continuous Time Stochastic Control

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Numerical Methods for Continuous-Time Stochastic Control Problems

Encyclopedia of Systems and Control ◽

10.1007/978-1-4471-5058-9_232 ◽

2015 ◽

pp. 918-923

Author(s):

George Yin

Keyword(s):

Numerical Methods ◽

Stochastic Control ◽

Continuous Time ◽

Control Problems ◽

Stochastic Control Problems ◽

Continuous Time Stochastic Control

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Numerical Methods for Continuous-Time Stochastic Control Problems

Encyclopedia of Systems and Control ◽

10.1007/978-1-4471-5102-9_232-1 ◽

2014 ◽

pp. 1-7

Author(s):

George Yin

Keyword(s):

Numerical Methods ◽

Stochastic Control ◽

Continuous Time ◽

Control Problems ◽

Stochastic Control Problems ◽

Continuous Time Stochastic Control

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Numerical Methods for Stochastic Control Problems in Continuous Time

10.1007/978-1-4613-0007-6 ◽

2001 ◽

Cited By ~ 324

Author(s):

Harold J. Kushner ◽

Paul Dupuis

Keyword(s):

Numerical Methods ◽

Stochastic Control ◽

Continuous Time ◽

Control Problems ◽

Stochastic Control Problems

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Numerical Methods for Stochastic Control Problems in Continuous Time

SIAM Journal on Control and Optimization ◽

10.1137/0328056 ◽

1990 ◽

Vol 28 (5) ◽

pp. 999-1048 ◽

Cited By ~ 157

Author(s):

Harold J. Kushner

Keyword(s):

Numerical Methods ◽

Stochastic Control ◽

Continuous Time ◽

Control Problems ◽

Stochastic Control Problems

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Solving higher-dimensional continuous-time stochastic control problems by value function regression

Journal of Economic Dynamics and Control ◽

10.1016/s0165-1889(98)00076-1 ◽

1999 ◽

Vol 23 (9-10) ◽

pp. 1329-1353 ◽

Cited By ~ 8

Author(s):

Michael Reiter

Keyword(s):

Stochastic Control ◽

Continuous Time ◽

Value Function ◽

Control Problems ◽

Stochastic Control Problems ◽

Higher Dimensional ◽

Continuous Time Stochastic Control

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Numerical methods for stochastic control problems in continuous time

Stochastics and Stochastics Reports ◽

10.1080/17442509408833901 ◽

1994 ◽

Vol 48 (1-2) ◽

pp. 123-128

Author(s):

J. P. Quadrat

Keyword(s):

Numerical Methods ◽

Stochastic Control ◽

Continuous Time ◽

Control Problems ◽

Stochastic Control Problems

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Numerical Methods for Stochastic Control Problems in Continuous Time (Harold J. Kushner and Paul G. Dupuis)

SIAM Review ◽

10.1137/1036162 ◽

1994 ◽

Vol 36 (4) ◽

pp. 668-669

Author(s):

T. E. Duncan

Keyword(s):

Numerical Methods ◽

Stochastic Control ◽

Continuous Time ◽

Control Problems ◽

Stochastic Control Problems

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Numerical Methods for Stochastic Control Problems in Continuous Time

10.1007/978-1-4684-0441-8 ◽

1992 ◽

Cited By ~ 372

Author(s):

Harold J. Kushner ◽

Paul G. Dupuis

Keyword(s):

Numerical Methods ◽

Stochastic Control ◽

Continuous Time ◽

Control Problems ◽

Stochastic Control Problems

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Discretisation of stochastic control problems for continuous time dynamics with delay

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2006.02.062 ◽

2007 ◽

Vol 205 (2) ◽

pp. 969-981 ◽

Cited By ~ 4

Author(s):

Markus Fischer ◽

Markus Reiß

Keyword(s):

Stochastic Control ◽

Continuous Time ◽

Control Problems ◽

Stochastic Control Problems ◽

Time Dynamics

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Study of convergence rates of numerical methods for stochastic control problems

2007 46th IEEE Conference on Decision and Control ◽

10.1109/cdc.2007.4434198 ◽

2007 ◽

Cited By ~ 4

Author(s):

Q.S. Song ◽

G. Yin

Keyword(s):

Numerical Methods ◽

Stochastic Control ◽

Convergence Rates ◽

Control Problems ◽

Stochastic Control Problems

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