Consistency issues for numerical methods for variance control, with applications to optimization in finance

IEEE Transactions on Automatic Control

Volumn 44, Issue 12, 1999, Pages 2283-2296

  Kushner, Harold J ^a,b  

^a IEEE   (United States)

^b BROWN UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

FINANCIAL MATHEMATICS; VARIANCE CONTROL;

ALGORITHMS; APPROXIMATION THEORY; CONTROL SYSTEM ANALYSIS; CONVERGENCE OF NUMERICAL METHODS; MARKOV PROCESSES; STOCHASTIC CONTROL SYSTEMS;

OPTIMAL CONTROL SYSTEMS;

EID: 0033317673     PISSN: 00189286     EISSN: None     Source Type: Journal    
DOI: 10.1109/9.811211     Document Type: Article

References (11)

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8. _, "Numerical methods for stochastic control problems in continuous time," SIAM J. Contr. Optim., vol. 28, pp. 999-1048, 1990.
9. _, "Existence of optimal controls for variance control," in Stochastic Analysis, Control, Optimization and Applications: A Volume in Honor of W. H. Fleming, W. M. McEneaney, G. Yin, and Q. Zhang, Eds. Boston: Birkhauser, 1998.
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