On the policy improvement algorithm in continuous time
نویسندگان
چکیده
منابع مشابه
On the Policy Improvement Algorithm in Continuous Time
We develop a general approach to the Policy Improvement Algorithm (PIA) for stochastic control problems for continuous-time processes. The main results assume only that the controls lie in a compact metric space and give general sufficient conditions for the PIA to be well-defined and converge in continuous time (i.e. without time discretisation). It emerges that the natural context for the PIA...
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ژورنال
عنوان ژورنال: Stochastics
سال: 2016
ISSN: 1744-2508,1744-2516
DOI: 10.1080/17442508.2016.1187609