Abstract.
Recently the connection between control and game problems and Backward Stochastic Differential Equations has been established. This allows us to use an approximation scheme for such equations in order to construct an ɛ-optimal control.
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Received: 13 November 1995 / Revised version: 11 February 1998
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Bally, V. Construction of asymptotically optimal controls for control and game problems. Probab Theory Relat Fields 111, 453–467 (1998). https://doi.org/10.1007/s004400050173
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DOI: https://doi.org/10.1007/s004400050173
- Mathematics Subject Classification (1991): 93E05
- 93E20
- 60F25
- 60G35