2 papers
math.OC2021
Discrete-time approximation for stochastic optimal control problems under the -expectation framework
Lianzi Jiang
In this paper, we propose a class of discrete-time approximation schemes for stochastic optimal control problems under the -expectation framework. The proposed schemes are const…
math.NA2020
An Effective Discrete Recursive Method for Stochastic Optimal Control Problems
Mingshang Hu, Lianzi Jiang
In this paper, we study the numerical method for stochastic optimal control problems (SOCPs). By reducing the optimal control problem to the discrete case, we derive a discrete sto…