On the time discretization of stochastic optimal control...

ESAIM Control Optimisation and Calculus of Variations 2019 Vol. 25

On the time discretization of stochastic optimal control problems: The dynamic programming approach

Bonnans, Joseph Frédéric, Gianatti, Justina, Silva, Francisco J.
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Volume:
25
Year:
2019
Journal:
ESAIM: Control, Optimisation and Calculus of Variations
DOI:
10.1051/cocv/2018045
File:
PDF, 514 KB
2019
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