On the numerical approximation of an optimal correction problem
M. C. Bancora-Imbert, P. L. Chow, J. L. Menaldi · 2003
The numerical solution of an optimal correction problem for a damped random linear oscillator is studied. A numerical algorithm for the discretized system of the associated dynamic programming equation is given. To initiate the computation, a numerical scheme derived from the deterministic version of the problem is adopted. A correction-type algorithm based on a discrete maximum principle is introduced to ensure the convergence of the iteration procedure.>