Consistency of a simple multidimensional scheme for Hamilton–Jacobi–Bellman equations
暂无分享,去创建一个
[1] P. Lions,et al. Approximation numérique des équations Hamilton-Jacobi-Bellman , 1980 .
[2] Maurizio Falcone,et al. An approximation scheme for the optimal control of diffusion processes , 1995 .
[3] H. Kushner. Numerical Methods for Stochastic Control Problems in Continuous Time , 2000 .
[4] J. Frédéric Bonnans,et al. Consistency of Generalized Finite Difference Schemes for the Stochastic HJB Equation , 2003, SIAM J. Numer. Anal..
[5] J. Frédéric Bonnans,et al. A fast algorithm for the two dimensional HJB equation of stochastic control , 2004 .
[6] Andrew W. Moore,et al. Variable Resolution Discretization in Optimal Control , 2002, Machine Learning.