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An Algorithm for Infinite Dimensional Stochastic Control Problems
Author(s) -
Grecksch W.
Publication year - 2002
Publication title -
zamm ‐ journal of applied mathematics and mechanics / zeitschrift für angewandte mathematik und mechanik
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.449
H-Index - 51
eISSN - 1521-4001
pISSN - 0044-2267
DOI - 10.1002/1521-4001(200211)82:11/12<767::aid-zamm767>3.0.co;2-m
Subject(s) - stochastic control , mathematics , continuous time stochastic process , algorithm , control (management) , mathematical optimization , process (computing) , optimal control , stochastic process , computer science , stochastic optimization , artificial intelligence , statistics , operating system
An algorithm of Bonnans is generalized to the case of optimal control of a stochastic evolution equation. Properties of the adjoint process are also discussed.