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...
| Hlavní autoři: | , |
|---|---|
| Médium: | Journal article |
| Jazyk: | English |
| Vydáno: |
Elsevier
2020
|