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Zur näherungsweisen Ermittlung optimaler stochastischer Steuerungen durch Diskretisierung. (German) Zbl 0396.49025

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)
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