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...
Main Authors: | Reisinger, C, Jakobsen, E, Picarelli, A |
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Format: | Journal article |
Published: |
Institute of Mathematical Statistics
2019
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