Minimal truncation error constants for Runge-Kutta method for stochastic optimal control problems

Abstract In this work, we obtain strong order-1 conditions with minimal truncation error constants of Runge–Kutta method for the optimal control of stochastic differential equations (SDEs). We match Stratonovich–Taylor expansion of the exact solution with Stratonovich–Taylor expansion of our approximation method that is defined by the Runge–Kutta scheme, term by term, in order to get the strong order-1 conditions. By a conclusion and an outlook to future research, the paper ends.

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