An Effective Discrete Recursive Method for Stochastic Optimal Control Problems

2020/07/13 by Mingshang Hu, Hu, Mingshang, Lianzi Jiang +1
Decision Sciences · Economics, Econometrics and Finance · Social Sciences · #60H35 #65C20 #93E20 #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Numerical Analysis (math.NA) #Risk and Portfolio Optimization #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2007.06266

openalex publication_date 2020/07/13 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper, we study the numerical method for stochastic optimal control problems (SOCPs). By reducing the optimal control problem to the discrete case, we derive a discrete stochastic maximum principle (SMP). With the help of this SMP, we propose an effective discrete recursive method for SOCPs with feedback control. We rigorously analyze errors of the proposed method and prove that the cost obtained by our method is of first-order convergence. Numerical experiments are carried out to support our theoretical results.

Citations

• An Efficient Gradient Projection Method for Stochastic Optimal Control Problems

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