Concepedia

An approximation scheme for the optimal control of diffusion processes

Fabio Camilli, Maurizio Falcone

ESAIM Mathematical Modelling and Numerical Analysis · 1995 · 134 citations · 16 references

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Abstract

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References

16

User’s guide to viscosity solutions of second order partial differential equations

Michael G. Crandall, Hitoshi Ishii, Pierre-Louis Lions · Bulletin of the American Mathematical Society · 1992 · 5K citations · Full text

, , +16

Numerical Methods for Stochastic Control Problems in Continuous Time

Harold J. Kushner · SIAM Journal on Control and Optimization · 1990 · 1.5K citations

, , +13

Convergence of approximation schemes for fully nonlinear second order equations

Guy Barles, Panagiotis E. Souganidis · Asymptotic Analysis · 1991 · 1K citations

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Viscosity solutions of fully nonlinear second-order elliptic partial differential equations

Hitoshi Ishii, Pierre‐Louis Lions · Journal of Differential Equations · 1990 · 568 citations

, , +10

Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness

Pierre‐Louis Lions · Communications in Partial Differential Equations · 1983 · 400 citations

, , +16