Solution of the Stochastic control probl
โ
Prentiss Robinson; John Moore
๐
Article
๐
1973
๐
Elsevier Science
๐
English
โ 541 KB
Bellman's dynamic programming equation for the optimal index and control law for stochastic control problems is a parabolic or elliptic partial differential equation frequently defined in an unbounded domain. Existing methods of solution require bounded domain approximations, the application of sing