Grecksch, Wilfried; Müller, P. Heinz Zur näherungsweisen Ermittlung optimaler stochastischer Steuerungen durch Diskretisierung. (German) Zbl 0396.49025 Math. Operationsforsch. Stat., Ser. Stat. 9, 383-393 (1978). Page: −5 −4 −3 −2 −1 ±0 +1 +2 +3 +4 +5 Show Scanned Page MSC: 49M15 Newton-type methods 93E20 Optimal stochastic control 49J55 Existence of optimal solutions to problems involving randomness 60H05 Stochastic integrals 60H10 Stochastic ordinary differential equations (aspects of stochastic analysis) Keywords:Martingale; Ritz Method; Stochastic Differential Equation; Stochastic Integral; Feedback; Stochastic Control Problem; Discretization PDFBibTeX XMLCite \textit{W. Grecksch} and \textit{P. H. Müller}, Math. Operationsforsch. Stat., Ser. Stat. 9, 383--393 (1978; Zbl 0396.49025) Full Text: DOI