Convergence of Finite Element Methods for Singular Stochastic Control
Probability
2018-06-11 v2
Abstract
A numerical method is proposed for a class of stochastic control problems including singular behavior. This method solves an infinite-dimensional linear program equivalent to the stochastic control problem using a finite element type approximation, which results in a solvable finite-dimensional program. The discretization scheme as well as the necessary assumptions are discussed, and a detailed convergence analysis for the discretization scheme is given. Its performance is illustrated by two examples featuring a long-term average cost criterion.
Cite
@article{arxiv.1711.07542,
title = {Convergence of Finite Element Methods for Singular Stochastic Control},
author = {Martin G. Vieten and Richard H. Stockbridge},
journal= {arXiv preprint arXiv:1711.07542},
year = {2018}
}
Comments
26 pages, 12 figures