AbstractFor a class of non‐linear open‐loop stochastic control problems with small additive white noise, an approximation technique to compute an optimal control of fixed structure related to the noise intensity is presented. The method developed here leads to a generalized deterministic linear regulator problem. It has the advantage that approximate optimal controls are obtainedsimultaneouslyfor all sufficiently small noise levels. A numerical example is presented to illustrate the met
展开▼
