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Problems from the Calculus of Variations: Finite Time Horizon

  • Harold J. Kushner
  • Paul Dupuis
Chapter
Part of the Stochastic Modelling and Applied Probability book series (SMAP, volume 24)

Abstract

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.

Keywords

Optimal Control Problem Numerical Scheme Admissible Control Stochastic Control Problem Stochastic Optimal Control Problem 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 2001

Authors and Affiliations

  • Harold J. Kushner
    • 1
  • Paul Dupuis
    • 1
  1. 1.Division of Applied MathematicsBrown UniversityProvidenceUSA

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