Browsing by Author "Bakan, Hacer Öz"

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    Minimal Truncation Error Constants for Runge-Kutta Method for Stochastic Optimal Control Problems
    (Elsevier, 2018) Bakan, Hacer Oz; Bakan, Hacer Öz; Yilmaz, Fikriye; Weber, Gerhard-Wilhelm; Bakan, Hacer Öz; Mathematics; Mathematics
    In this work, we obtain strong order-1 conditions with minimal truncation error constants of Runge-Kutta method for the optimal control of stochastic differential equations (SDEs). We match Stratonovich-Taylor expansion of the exact solution with Stratonovich-Taylor expansion of our approximation method that is defined by the Runge-Kutta scheme, term by term, in order to get the strong order-1 conditions. By a conclusion and an outlook to future research, the paper ends. (C) 2017 Elsevier B.V. All rights reserved.