Journal
AUTOMATICA
Volume 44, Issue 3, Pages 761-766Publisher
PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/j.automatica.2007.07.014
Keywords
stochastic control; differential games; convergence of numerical methods; dynamic programming
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This work is concerned with numerical methods for a class of stochastic control optimizations and stochastic differential games. Numerical procedures based on Markov chain approximation techniques are developed in a framework of generalized Hamilton-Jacobi-Bellman equations. Convergence of the algorithms is derived by means of viscosity solution methods. (C) 2007 Elsevier Ltd. All rights reserved.
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