Particle Methods for Stochastic Optimal Control Problems

Pierre Carpentier, Guy Cohen and Anes Dallagi

2013

Publication type:

Paper in peer-reviewed journals

Journal:

Computational Optimization and Applications, vol. 56 (3), pp. 635-674

DOI:

10.1007/s10589-013-9579-y

HAL:

hal-00962484

Keywords :

Stochastic programming, Measurability constraints, Discretization

BibTeX:

@article{Car-Coh-Dal-2013,
    author={Pierre Carpentier and Guy Cohen and Anes Dallagi },
    title={Particle Methods for Stochastic Optimal Control Problems },
    doi={10.1007/s10589-013-9579-y },
    journal={Computational Optimization and Applications },
    year={2013 },
    volume={56 (3) },
    pages={635--674},
}