## Title data

Grüne, Lars:

**Error estimation and adaptive discretization for the discrete stochastic Hamilton-Jacobi-Bellman equation.**

*In:* Numerische Mathematik.
Vol. 99
(2004)
Issue 1
.
- pp. 85-112.

ISSN 0029-599X

DOI: https://doi.org/10.1007/s00211-004-0555-4

## Related URLs

## Abstract in another language

Generalizing an idea from deterministic optimal control, we construct a posteriori error estimates for the spatial discretization error of the stochastic dynamic programming method based on a discrete Hamilton-Jacobi-Bellman equation. These error estimates are shown to be efficient and reliable, furthermore, a priori bounds on the estimates depending on the regularity of the approximate solution are derived. Based on these error estimates we propose an adaptive space discretization scheme whose performance is illustrated by two numerical examples.

## Further data

Item Type: | Article in a journal |
---|---|

Refereed: | Yes |

Keywords: | Stochastic optimal control; Stochastic Hamilton-Jacobi-Bellmanequation; Posteriori error estimates; Feedback optimal control; Numerical examples |

Institutions of the University: | Faculties Faculties > Faculty of Mathematics, Physics und Computer Science Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics) Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics) > Chair Mathematics V (Applied Mathematics) - Univ.-Prof. Dr. Lars Grüne |

Result of work at the UBT: | Yes |

DDC Subjects: | 500 Science 500 Science > 510 Mathematics |

Date Deposited: | 02 Mar 2021 08:28 |

Last Modified: | 12 May 2021 13:30 |

URI: | https://eref.uni-bayreuth.de/id/eprint/63496 |