Probabilistic error analysis for some approximation schemes to optimal control problems

Probabilistic error analysis for some approximation schemes to optimal control problems

We introduce a class of numerical schemes for optimal stochastic control problems based on a novel Markov chain approximation, which uses, in turn, a piecewise constant policy approximation, Euler–Maruyama time stepping, and a Gauß-Hermite approximation of the Gaußian increments. We provide lower er...

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Chi tiết về thư mục
Những tác giả chính:	Picarelli, A, Reisinger, C
Định dạng:	Journal article
Ngôn ngữ:	English
Được phát hành:	Elsevier 2020

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