Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems
In N. V. Krylov, Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies, Electron. J. Probab., 4(2), 1999, it is proved under standard assumptions that the value functions of controlled diffusion processes can be approximated with order 1/6...
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| Format: | Journal article |
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Institute of Mathematical Statistics
2019
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