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Suboptimality in a Stochastic Control Problem

  • Conference paper
Operations Research Proceedings 1997

Part of the book series: Operations Research Proceedings ((ORP,volume 1997))

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Abstract

A stochastic dynamic system with set-valued drift is approximated by a splitting-up-method to obtain suboptimal controls.

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References

  1. V. Anh, W. Grecksch and A. Wadewitz, “A Splitting Method for a Stochastic Goursat Problem”, will appear in Stock. Anal. Appl..

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  2. A. Bensoussan, R. Glowinski and A. Rascanu, “Approximation of the Zakai Equation by the Splitting up Method”, SIAM J. Control Optim. 28/6 (1990), 1420–1431.

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  3. G. Da Prato and H. Frankowska, “A Stochastic Filippov Theorem”, Stock. Anal. Appl. 12/4 (1994), 409–426.

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  4. H. Fritsch, “A Necessary Extremality Condition for a Set-Valued Stochastic Control Problem”, will appear in Math. Methods of Operations Research (1997).

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Authors and Affiliations

  1. Fachbereich Mathematik und Informatik, Institut für Optimierung und Stochastik, Martin-Luther-Universität Halle-Wittenberg, D-06099, Halle, Germany

    H. Fritsch

Authors
  1. H. Fritsch
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© 1998 Springer-Verlag Berlin Heidelberg

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Fritsch, H. (1998). Suboptimality in a Stochastic Control Problem. In: Operations Research Proceedings 1997. Operations Research Proceedings, vol 1997. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-58891-4_21

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  • DOI: https://doi.org/10.1007/978-3-642-58891-4_21

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-64240-4

  • Online ISBN: 978-3-642-58891-4

  • eBook Packages: Springer Book Archive

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