On finite-difference approximations for normalized Bellman equations
Optimization and Control
2014-12-18 v4 Numerical Analysis
Abstract
A class of stochastic optimal control problems involving optimal stopping is considered. Methods of Krylov are adapted to investigate the numerical solutions of the corresponding normalized Bellman equations and to estimate the rate of convergence of finite difference approximations for the optimal reward functions.
Cite
@article{arxiv.math/0610855,
title = {On finite-difference approximations for normalized Bellman equations},
author = {István Gyöngy and David Šiška},
journal= {arXiv preprint arXiv:math/0610855},
year = {2014}
}
Comments
36 pages, ArXiv version updated to the version accepted in Appl. Math. Optim