Minimal truncation error constants for Runge-Kutta method for stochastic optimal control problems

Date

2018-03-15

Author

Bakan, Hacer Oz
Yilmaz, Fikriye
Weber, Gerhard Wilhelm

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In this work, we obtain strong order-1 conditions with minimal truncation error constants of Runge–Kutta method for the optimal control of stochastic differential equations (SDEs). We match Stratonovich–Taylor expansion of the exact solution with Stratonovich–Taylor expansion of our approximation method that is defined by the Runge–Kutta scheme, term by term, in order to get the strong order-1 conditions. By a conclusion and an outlook to future research, the paper ends.

Subject Keywords

Optimal control, Runge-Kutta method, Stochastic differential equation, Stratonovich-Taylor expansion, Numerical solution, Minimal truncation error, Minimal truncation error

URI

https://hdl.handle.net/11511/52382

Journal

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

DOI

https://doi.org/10.1016/j.cam.2017.10.011

Collections

Graduate School of Applied Mathematics, Article

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Citation Formats

H. O. Bakan, F. Yilmaz, and G. W. Weber, “Minimal truncation error constants for Runge-Kutta method for stochastic optimal control problems,” JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, pp. 196–207, 2018, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/52382.