On Finite-Difference Approximations for Normalized Bellman Equations
نویسندگان
چکیده
منابع مشابه
On the rate of convergence of finite-difference approximations for normalized Bellman equations with Lipschitz coefficients
A class stochastic optimal control problems containing optimal stopping of controlled diffusion process is considered. The numerical solutions of the corresponding normalized Bellman equations are investigated. Methods of [Kry04] are adapted. The rate of convergence of appropriate finite difference difference schemes is estimated.
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ژورنال
عنوان ژورنال: Applied Mathematics and Optimization
سال: 2009
ISSN: 0095-4616,1432-0606
DOI: 10.1007/s00245-009-9082-0