An applicative study of stochastic control theory
| Project/Area Number |
23740069
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
General mathematics (including Probability theory/Statistical mathematics)
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| Research Institution | Tokyo Institute of Technology |
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Principal Investigator |
NAKANO Yumiharu 東京工業大学, 大学院イノベーションマネジメント研究科, 准教授 (00452409)
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| Project Period (FY) |
2011 – 2013
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| Project Status |
Completed (Fiscal Year 2013)
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| Budget Amount *help |
¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2013: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2012: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2011: ¥260,000 (Direct Cost: ¥200,000、Indirect Cost: ¥60,000)
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| Keywords | 確率制御 / ハミルトン・ヤコビ・ベルマン方程式 |
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| Research Abstract |
This study is concerned with numerical methods for stochastic control problems, and produces a new application method that converges to a true solution for a general class of problems and is easy to implement. Although more studies are needed to reduce the computational time, this method fills up deficiencies in existing methods. Moreover, to get a simpler method, a quadratic approximation method for Hamilton-Jacobi-Bellman equation corresponding to a stochastic control problem is examined. The rigorous error bounds are estimated to find that the quadratic approximation method has a high accuracy when the equation has a quadratic-like boundary and a linear-like dynamics.
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Report
(4 results)
Research Products
(9 results)
