| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 698135 | Automatica | 2008 | 6 Pages |
Abstract
This work is concerned with numerical methods for a class of stochastic control optimizations and stochastic differential games. Numerical procedures based on Markov chain approximation techniques are developed in a framework of generalized Hamilton–Jacobi–Bellman equations. Convergence of the algorithms is derived by means of viscosity solution methods.
Related Topics
Physical Sciences and Engineering
Engineering
Control and Systems Engineering
Authors
Q.S. Song,