Convergence rates of Markov chain approximation methods for controlled diffusions with stopping
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Publication:601074
DOI10.1007/S11424-010-0148-5zbMath1210.60081OpenAlexW2086418723MaRDI QIDQ601074
Publication date: 3 November 2010
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-010-0148-5
Computational methods in Markov chains (60J22) Optimal stochastic control (93E20) Numerical analysis or methods applied to Markov chains (65C40) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)
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