Article1989

Some Estimates for Finite Difference Approximations

54 citations0/0 files storedSIAM Journal on Control and Optimization

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Stochastic processes and financial applications Advanced Numerical Methods in Computational Mathematics Adaptive Dynamic Programming Control

Abstract

Some estimates for the approximation of optimal stochastic control problems by discrete time problems are obtained. In particular an estimate for the solutions of the continuous time versus the discrete time Hamilton–Jacobi–Bellman equations is given. The technique used is more analytic than probabilistic.

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References

1980Controlled Diffusion Processes 1979Controlled Stochastic Processes 1977Probability Methods for Approximations in Stochastic Control and for Elliptic Equations 1985Discretization and simulation of stochastic differential equations

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1990Numerical Methods for Stochastic Control Problems in Continuous Time 2008Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions 2009A Finite Element Like Scheme for Integro-Partial Differential Hamilton–Jacobi–Bellman Equations 2016An unconditionally monotone numerical scheme for the two-factor uncertain volatility model 2014Dynamic Programming and Error Estimates for Stochastic Control Problems with Maximum Cost 2009Rates of Convergence of Numerical Methods for Controlled Regime-Switching Diffusions with Stopping Times in the Costs

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