Minimal truncation error constants for Runge-Kutta method for stochastic optimal control problems
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Date
2018
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
Abstract
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.
Description
Yılmaz, Fikriye/0000-0003-0002-9201; OZ BAKAN, HACER/0000-0001-8090-5552; Weber, Gerhard-Wilhelm/0000-0003-0849-7771
Keywords
Optimal control, Runge-Kutta method, Stochastic differential equation, Stratonovich-Taylor expansion, Numerical solution, Minimal truncation error
Turkish CoHE Thesis Center URL
Citation
9
WoS Q
Q1
Scopus Q
Source
Volume
331
Issue
Start Page
196
End Page
207