Title :
Computing the maximum solution of second order partial differential systems related to stochastic optimal control
Author_Institution :
INRIA, Le Chesnay, France
Abstract :
The author proposes an approximation procedure to compute the value function and the optimal policy related to the stochastic problem of controlling diffusion processes. This procedure can be easily extended to problems for which stopping time and impulse controls are also considered. He briefly comments on some applications
Keywords :
approximation theory; diffusion; optimal control; partial differential equations; stochastic systems; approximation procedure; diffusion processes; impulse controls; maximum solution; optimal control; second order partial differential systems; stochastic control; stopping time; Control systems; Cost function; Diffusion processes; Equations; Optimal control; Process control; Q measurement; Stochastic processes; Stochastic systems; Time measurement;
Conference_Titel :
Decision and Control, 1988., Proceedings of the 27th IEEE Conference on
Conference_Location :
Austin, TX
DOI :
10.1109/CDC.1988.194591
