1992 | OriginalPaper | Buchkapitel
Problems from the Calculus of Variations
verfasst von : Harold J. Kushner, Paul G. Dupuis
Erschienen in: Numerical Methods for Stochastic Control Problems in Continuous Time
Verlag: Springer US
Enthalten in: Professional Book Archive
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A large class of deterministic optimal control problems are special cases of the stochastic optimal control problems considered previously. This is true both with respect to the construction of schemes as well as the proofs of convergence. In fact, the convergence proofs become much simpler in the deterministic setting.