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

作者：Bakan Hacer Oz; Yilmaz Fikriye; Weber Gerhard Wilhelm

来源：Journal of Computational and Applied Mathematics, 2018, 331: 196-207.

DOI：10.1016/j.cam.2017.10.011

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

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.

• 出版日期2018-3-15