A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control
We present a numerical method for finite-horizon stochastic optimal control models. We derive a stochastic minimum principle (SMP) and then develop a numerical method based on the direct solution of the SMP. The method combines Monte Carlo pathwise simulation and non-parametric interpolation methods...
| Main Authors: | , |
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| Format: | Article |
| Language: | en_US |
| Published: |
Elsevier
2015
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| Online Access: | http://hdl.handle.net/1721.1/99483 |