A successive approximation algorithm for stochastic control problems |
| |
| Affiliation: | 1. Department of Industrial Economics and Technology Management, Norwegian University of Science and Technology, Trondheim 7491, Norway;2. Department of Mathematics and CEMAT, Instituto Superior Té cnico, Av. Rovisco Pais, Lisboa 1049-001, Portugal;3. ISEG-School of Economics and Management, Universidade de Lisboa Rua do Quelhas 6, Lisboa 1200-781, Portugal;4. REM-Research in Economics and Mathematics, CEMAPRE Portugal;1. Department of Electrical Engineering, Pontificia Universidad Catolica de Chile, Avda. Vicuña Mackenna 4686, Macul, Santiago, Chile;2. Biomedical Imaging Center, Pontificia Universidad Catolica de Chile, Avda. Vicuña Mackenna 4686, Macul, Santiago, Chile;3. Wellcome Trust Centre for Neuroimaging, Institute of Neurology, University College London. 12 Queen Square, London WC1N 3BG, UK;4. German Center for Neurodegenerative Diseases (DZNE), Leipziger Straße 44, Haus 64, 39120 Magdeburg, Germany;5. Department of Biomedical Magnetic Resonance, Institute of Experimental Physics, Otto von Guericke-University. Universitaetsplatz 2, 39106 Magdeburg, Germany;6. Department of Radiology, School of Medicine, Pontificia Universidad Catolica de Chile. Avda. Libertador Bernardo OHiggins 340, Santiago, Chile;1. Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong, China;2. Risk and Insurance Institute of Le Mans, Laboratoire Manceau de Mathmatiques, Le Mans University, Le Mans 72000, Sarthe, France;3. School of Mathematical Sciences, Ocean University of China, Qingdao 266003, Shandong, China;4. Laboratory of Marine Mathematics, Ocean University of China, Qingdao 266003, Shandong, China;5. School of Mathematics, Shandong University, Jinan 250100, Shandong, China |
| |
| Abstract: | We consider optimal stochastic control problems in which the state variables are governed by Itô equations. A successive approximation algorithm for optimal stochastic control is obtained. This algorithm, together with the existing numerical methods for parabolic or elliptic PDEs, provides numerical schemes for the solution of Bellman equations. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
