Name
Abstract | ||
|---|---|---|
This work is concerned with numerical methods for a class of stochastic control optimizations and stochastic differential games. Numerical procedures based on Markov chain approximation techniques are developed in a framework of generalized Hamilton-Jacobi-Bellman equations. Convergence of the algorithms is derived by means of viscosity solution methods. |
Year | DOI | Venue |
|---|---|---|
2007 | 10.1109/CDC.2007.4434068 | PROCEEDINGS OF THE 46TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-14 |
Keywords | Field | DocType |
markov processes,stochastic control,approximation theory,hamilton jacobi bellman equation,viscosity solution,numerical method | Mathematical optimization,Markov process,Markov property,Continuous-time Markov chain,Markov model,Markov chain,Balance equation,Variable-order Markov model,Viscosity solution,Mathematics | Conference |
ISSN | Citations | PageRank |
0743-1546 | 1 | 0.37 |
References | Authors | |
5 | 2 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Xueping Li | 1 | 26 | 5.39 |
| q s song | 2 | 1 | 0.37 |