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1. Time Discretisation and Rate of Convergence for the Optimal Control of Continuous-Time Stochastic Systems with Delay.

Author

Fischer, Markus and Nappo, Giovanna

Subjects
*STOCHASTIC differential equations, *FUNCTIONAL differential equations, *DELAY differential equations, *FINITE differences, *APPROXIMATION theory, *NUMERICAL analysis
Abstract

We study a semi-discretisation scheme for stochastic optimal control problems whose dynamics are given by controlled stochastic delay (or functional) differential equations with bounded memory. Performance is measured in terms of expected costs. By discretising time in two steps, we construct a sequence of approximating finite-dimensional Markovian optimal control problems in discrete time. The corresponding value functions converge to the value function of the original problem, and we derive an upper bound on the discretisation error or, equivalently, a worst-case estimate for the rate of convergence. [ABSTRACT FROM AUTHOR]

Published
2008
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