2013 Fiscal Year Final Research Report
An applicative study of stochastic control theory
| Project/Area Number |
23740069
|
|---|
| Research Category |
Grant-in-Aid for Young Scientists (B)
|
| Allocation Type | Multi-year Fund |
|---|
| Research Field |
General mathematics (including Probability theory/Statistical mathematics)
|
|---|
| Research Institution | Tokyo Institute of Technology |
|---|
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)
|
|---|
| Project Period (FY) |
2011 – 2013
|
| Keywords | 確率制御 / ハミルトン・ヤコビ・ベルマン方程式 |
|---|
| 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.
|
