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Construction of asymptotically optimal controls for control and game problems
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  • Published: July 1998

Construction of asymptotically optimal controls for control and game problems

  • Vlad Bally1 

Probability Theory and Related Fields volume 111, pages 453–467 (1998)Cite this article

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  • 3 Citations

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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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  1. Universiteé Le Mans, Équipe Statistique et Processus, Avenue Olivier Messiaen, F-72000 Le Mans, France, , , , , , FR

    Vlad Bally

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  1. Vlad Bally
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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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  • Issue Date: July 1998

  • DOI: https://doi.org/10.1007/s004400050173

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  • Mathematics Subject Classification (1991): 93E05
  • 93E20
  • 60F25
  • 60G35
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