Approximating Value Functions for Controlled Degenerate Diffusion Processes by Using Piece-Wise Constant Policies
نویسندگان
چکیده
منابع مشابه
Approximating Value Functions for Controlled Degenerate Diffusion Processes by Using Piece-wise Constant Policies
It is shown that value functions for controlled degenerate diffusion processes can be approximated with error of order h by using policies which are constant on intervals [kh, (k+ 1)h). AMS subject classification: 93E20, 35K55.
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ژورنال
عنوان ژورنال: Electronic Journal of Probability
سال: 1999
ISSN: 1083-6489
DOI: 10.1214/ejp.v4-39