Discrete Approximation of Continuous Time Stochastic Control Systems
Discrete Approximation of Continuous Time Stochastic Control Systems
复制标题
连续时间随机控制系统的离散逼近
DOI：
10.1137/0321002
复制
发表时间：
1983
影响因子：
2.2
通讯作者：
N. Christopeit
中科院分区：
文献类型：
--
作者：
N. Christopeit
本文展示了如何通过时间离散化来解决连续时间随机控制问题。给出了一个条件，在该条件下，通过动态规划获得的离散时间问题的最优策略逼近原始连续时间问题的解。
In this paper it is shown how a continuous time stochastic control problem can be solved by discretization in time. A condition is given under which the optimal strategies for the discrete time problems—obtained by dynamic programming—approximate the solution of the original continuous time problem.