Problems from the Calculus of Variations: Finite Time Horizon
A large class of deterministic optimal control problems are special cases of the stochastic optimal control problems considered previously. This is true both with respect to the construction of schemes as well as the proofs of convergence. In fact, the convergence proofs become much simpler in the deterministic setting.
KeywordsOptimal Control Problem Numerical Scheme Admissible Control Stochastic Control Problem Stochastic Optimal Control Problem
Unable to display preview. Download preview PDF.