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H. Kushner (2000)
Numerical Methods for Stochastic Control Problems in Continuous Time
N. Krylov (2004)
The Rate of Convergence of Finite-Difference Approximations for Bellman Equations with Lipschitz CoefficientsApplied Mathematics and Optimization, 52
Imran Biswas, E. Jakobsen, K. Karlsen (2006)
ERROR ESTIMATES FOR FINITE DIFFERENCE-QUADRATURE SCHEMES FOR A CLASS OF NONLOCAL BELLMAN EQUATIONS WITH VARIABLE DIFFUSION COEFFICIENTS
G. Barles, E. Jakobsen (2005)
Error Bounds for Monotone Approximation Schemes for Hamilton-Jacobi-Bellman EquationsSIAM J. Numer. Anal., 43
Hongjie Dong, N. Krylov (2007)
The Rate of Convergence of Finite-Difference Approximations for Parabolic Bellman Equations with Lipschitz Coefficients in Cylindrical DomainsApplied Mathematics and Optimization, 56
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Statisticheskii posledovatelnyi analiz. Optimalnye pravila ostanovki. Izdat
E. Jakobsen, K. Karlsen, Claudia Chioma (2008)
Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusionsNumerische Mathematik, 110
I. Gyöngy, N. Krylov (2003)
Progress in Probability
N.V. Krylov (1997)
On the rate of convergence of finite-difference approximations for Bellman’s equationsAlgebra Anal., 9
N. Krylov (2007)
On Factorizations of Smooth Nonnegative Matrix-Values Functions and on Smooth Functions with Values in PolyhedraApplied Mathematics and Optimization, 58
N. Krylov (1999)
Approximating Value Functions for Controlled Degenerate Diffusion Processes by Using Piece-Wise Constant PoliciesElectronic Journal of Probability, 4
N. Krylov (2006)
A priori estimates of smoothness of solutions to difference Bellman equations with linear and quasi-linear operatorsMath. Comput., 76
G. Barles, E. Jakobsen (2002)
On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman equationsMathematical Modelling and Numerical Analysis, 36
N. Krylov (2000)
On the rate of convergence of finite-difference approximations for Bellmans equations with variable coefficientsProbability Theory and Related Fields, 117
E. Jakobsen (2003)
ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMSMathematical Models and Methods in Applied Sciences, 13
Hongjie Dong, N. Krylov (2006)
On the rate of convergence of finite-difference approximations for Bellman equations with constant coefficientsSt Petersburg Mathematical Journal, 17
N. Krylov (1980)
Controlled Diffusion Processes
G. Barles, E.R. Jakobsen (2002)
On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman equationsM2AN Math. Model. Numer. Anal., 36
E. Jakobsen, K. Karlsen (2005)
Convergence Rates for Semi-Discrete Splitting Approximations for Degenerate Parabolic Equations with Source TermsBIT Numerical Mathematics, 45
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On randomized stoppingBernoulli, 14
Jose-Luis Mendali (1989)
Some estimates for finite difference approximationsSiam Journal on Control and Optimization, 27
Stochastic Modelling and Applied Probability
I. Gyongy, N. Krylov (2003)
On the Rate of Convergence of Splitting-up Approximations for SPDEs
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.
Applied Mathematics and Optimization – Springer Journals
Published: Dec 1, 2009
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