Discrete-time approximation for stochastic optimal control problems under the $G$-expectation framework
Optimization and Control
2021-10-05 v3 Numerical Analysis
Numerical Analysis
Abstract
In this paper, we propose a class of discrete-time approximation schemes for stochastic optimal control problems under the -expectation framework. The proposed schemes are constructed recursively based on piecewise constant policy. We prove the convergence of the discrete schemes and determine the convergence rates. Several numerical examples are presented to illustrate the effectiveness of the obtained results.
Cite
@article{arxiv.2104.02268,
title = {Discrete-time approximation for stochastic optimal control problems under the $G$-expectation framework},
author = {Lianzi Jiang},
journal= {arXiv preprint arXiv:2104.02268},
year = {2021}
}
Comments
20 pages