On the numerical approximation of an optimal correction problem. (English) Zbl 0661.65150

Authors’ summary: The numerical solution of an optimal correction problem for a damped random linear oscillator is studied. A numerical algorithm for the discretized system of the associated dynamic programming equation is given. To initiate the computation, we adopt a numerical scheme derived from the deterministic version of the problem. Next, a correction-type algorithm based on a discrete maximum principle is introduced to ensure the convergence of the iteration procedure.
Reviewer: E.Platen


65C99 Probabilistic methods, stochastic differential equations
65L05 Numerical methods for initial value problems involving ordinary differential equations
34F05 Ordinary differential equations and systems with randomness
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
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