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On Finite-Difference Approximations for Normalized Bellman Equations
- Source :
- Gyongy, I & Siska, D 2009, ' On Finite-Difference Approximations for Normalized Bellman Equations ', Applied Mathematics and Optimization, vol. 60, no. 3, pp. 297-339 . https://doi.org/10.1007/s00245-009-9082-0
- Publication Year :
- 2009
-
Abstract
- A class of stochastic optimal control problems involving optimal stopping is considered. Methods of Krylov are adapted to investigate the numerical solutions of the corresponding normalized Bellman equations and to estimate the rate of convergence of finite difference approximations for the optimal reward functions.<br />Comment: 36 pages, ArXiv version updated to the version accepted in Appl. Math. Optim
Details
- Language :
- English
- Database :
- OpenAIRE
- Journal :
- Gyongy, I & Siska, D 2009, ' On Finite-Difference Approximations for Normalized Bellman Equations ', Applied Mathematics and Optimization, vol. 60, no. 3, pp. 297-339 . https://doi.org/10.1007/s00245-009-9082-0
- Accession number :
- edsair.doi.dedup.....9e2b0425424cd00b089f1dda58622e6e
- Full Text :
- https://doi.org/10.1007/s00245-009-9082-0