Systems Theory and Automatic Control

Systems and Control Seminar in the Summer Semester 2014

Numerical Methods for the Optimal Control of Stochastic Differential Equations


Tony Huschto
Interdisciplinary Center for Scientific Computing (IWR)
Ruprecht-Karls-University of Heidelberg

Time and Place

The seminar talk takes place on June 12, 2014 at 1.30 p.m. in building 07, room 208 at Universitaetsplatz 2.


We present a novel approach for solving continuous finite-horizon stochastic optimal control problems. To that end, we consider stochastic differential equations from the perspectives of the Wiener chaos expansion and Malliavin calculus. We develop an idea to preserve the feedback character of the occuring Markov control in the stochastic control problem, allowing the reformulation of the original stochastic task as a deterministic one. This facilitates the use of state-of-the-art numerical methods of deterministic optimal control in the context of stochastic differential equations.

Information about the Speaker

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