A Relative Value Iteration Algorithm for Nondegenerate Controlled Diffusions

Ari Arapostathis, Vivek S. Borkar. A Relative Value Iteration Algorithm for Nondegenerate Controlled Diffusions. SIAM J. Control and Optimization, 50(4):1886-1902, 2012. [doi]

Authors

Ari Arapostathis

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Vivek S. Borkar

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