DISCRETIZATION OF THE BELLMAN EQUATION AND THE CORRESPONDING STOCHASTIC CONTROL PROBLEM.

Alain Bensoussan

doi:10.1109/CDC.1987.272942

DISCRETIZATION OF THE BELLMAN EQUATION AND THE CORRESPONDING STOCHASTIC CONTROL PROBLEM.

Alain Bensoussan

Research output: Journal Publications and Reviews › RGC 22 - Publication in policy or professional journal

Abstract

Some of the current discretization schemes used in the context of Bellman equations are reviewed. The main objective is to treat cases when the Hamiltonian has quadratic growth. A comparison is made with the more classical situation when the Hamiltonian has linear growth. The author discusses the associated stochastic control problem in discrete time when there is one.

Original language	English
Pages (from-to)	2251-2254
Journal	Proceedings of the IEEE Conference on Decision and Control
DOIs	https://doi.org/10.1109/CDC.1987.272942
Publication status	Published - 1987
Externally published	Yes

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title = "DISCRETIZATION OF THE BELLMAN EQUATION AND THE CORRESPONDING STOCHASTIC CONTROL PROBLEM.",

abstract = "Some of the current discretization schemes used in the context of Bellman equations are reviewed. The main objective is to treat cases when the Hamiltonian has quadratic growth. A comparison is made with the more classical situation when the Hamiltonian has linear growth. The author discusses the associated stochastic control problem in discrete time when there is one.",

author = "Alain Bensoussan",

year = "1987",

doi = "10.1109/CDC.1987.272942",

language = "English",

pages = "2251--2254",

journal = "Proceedings of the IEEE Conference on Decision and Control",

issn = "0191-2216",

publisher = "IEEE",

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TY - JOUR

T1 - DISCRETIZATION OF THE BELLMAN EQUATION AND THE CORRESPONDING STOCHASTIC CONTROL PROBLEM.

AU - Bensoussan, Alain

PY - 1987

Y1 - 1987

N2 - Some of the current discretization schemes used in the context of Bellman equations are reviewed. The main objective is to treat cases when the Hamiltonian has quadratic growth. A comparison is made with the more classical situation when the Hamiltonian has linear growth. The author discusses the associated stochastic control problem in discrete time when there is one.

AB - Some of the current discretization schemes used in the context of Bellman equations are reviewed. The main objective is to treat cases when the Hamiltonian has quadratic growth. A comparison is made with the more classical situation when the Hamiltonian has linear growth. The author discusses the associated stochastic control problem in discrete time when there is one.

UR - https://www.scopus.com/pages/publications/0023592463

UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-0023592463&origin=recordpage

U2 - 10.1109/CDC.1987.272942

DO - 10.1109/CDC.1987.272942

M3 - RGC 22 - Publication in policy or professional journal

SN - 0191-2216

SP - 2251

EP - 2254

JO - Proceedings of the IEEE Conference on Decision and Control

JF - Proceedings of the IEEE Conference on Decision and Control

ER -

DISCRETIZATION OF THE BELLMAN EQUATION AND THE CORRESPONDING STOCHASTIC CONTROL PROBLEM.

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