On finite-difference approximations for normalized Bellman equations
最优化与控制
2014-12-18 v4 数值分析
摘要
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.
引用
@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}
}
备注
36 pages, ArXiv version updated to the version accepted in Appl. Math. Optim