Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies

N. V. Krylov

doi:10.1214/EJP.v4-39

Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies

N. V. Krylov

School of Mathematics

Research output: Contribution to journal › Article › peer-review

37 Scopus citations

Abstract

It is shown that value functions for controlled degenerate diffusion processes can be approximated with error of order h^1/3 by using policies which are constant on intervals [kh², (k + 1)h²).

Original language	English (US)
Pages (from-to)	1-19
Number of pages	19
Journal	Electronic Journal of Probability
Volume	4
DOIs	https://doi.org/10.1214/EJP.v4-39
State	Published - Jan 1 1999

Keywords

Bellman’s equations
Fully nonlinear equations

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10.1214/EJP.v4-39

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title = "Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies",

abstract = "It is shown that value functions for controlled degenerate diffusion processes can be approximated with error of order h1/3 by using policies which are constant on intervals [kh2, (k + 1)h2).",

keywords = "Bellman{\textquoteright}s equations, Fully nonlinear equations",

author = "Krylov, {N. V.}",

year = "1999",

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doi = "10.1214/EJP.v4-39",

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N2 - It is shown that value functions for controlled degenerate diffusion processes can be approximated with error of order h1/3 by using policies which are constant on intervals [kh2, (k + 1)h2).

AB - It is shown that value functions for controlled degenerate diffusion processes can be approximated with error of order h1/3 by using policies which are constant on intervals [kh2, (k + 1)h2).

KW - Bellman’s equations

KW - Fully nonlinear equations

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JO - Electronic Journal of Probability

JF - Electronic Journal of Probability

ER -

Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies

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