On Finite-Difference Approximations for Normalized Bellman Equations

On Finite-Difference Approximations for Normalized Bellman Equations A class of stochastic optimal control problems involving optimal stopping is considered. Methods of Krylov (Appl. Math. Optim. 52(3):365–399, 2005 ) 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

On Finite-Difference Approximations for Normalized Bellman Equations

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Publisher
Springer-Verlag
Copyright
Copyright © 2009 by Springer Science+Business Media, LLC
Subject
Mathematics; Numerical and Computational Physics; Mathematical Methods in Physics; Theoretical, Mathematical and Computational Physics; Systems Theory, Control; Calculus of Variations and Optimal Control; Optimization
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-009-9082-0
Publisher site
See Article on Publisher Site

Abstract

A class of stochastic optimal control problems involving optimal stopping is considered. Methods of Krylov (Appl. Math. Optim. 52(3):365–399, 2005 ) 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.

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: Dec 1, 2009

References

  • The rate of convergence of finite-difference approximations for parabolic Bellman equations with Lipschitz coefficients in cylindrical domains
    Dong, H.; Krylov, N.

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