CIFASIS 20631
CENTRO INTERNACIONAL FRANCO ARGENTINO DE CIENCIAS DE LA INFORMACION Y DE SISTEMAS
Unidad Ejecutora - UE
artículos
Título:
A procedure to solve a singular stochastic optimal control problem
Autor/es:
ARAGONE, L., MANCINELLI, E
Revista:
DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS
Editorial:
Watam
Referencias:
Lugar: Toronto,; Año: 2010 vol. 17 p. 1 - 18
ISSN:
1201-3390
Resumen:
In this work we deal with a singular stochastic optimal control problem. We
present a theoretical iterative method which converges to the analytical solution and we
also present a discretization procedure to obtain an approximated solution. We establish
the convergence of the discrete solution to the value function and give an example of ap-
plication with the numerical results.
