Strong Error Estimates for the Space-Time Discretization of a Stochastic Linear Quadratic Control Problem with Control in the Diffusion

Yanqing Wang. Strong Error Estimates for the Space-Time Discretization of a Stochastic Linear Quadratic Control Problem with Control in the Diffusion. SIAM J. Control and Optimization, 63(5):3328-3355, 2025. [doi]

Abstract

Abstract is missing.