scientific article

Publication date: 18 March 2001

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

weak convergence dynamic programming domain decomposition relaxation heavy traffic computational methods nonlinear filtering Gauss-Seidel iteration finite difference martingale measure jump diffusion Markov chain approximation reflecting boundary local consistency ergodic cost problem controlled jumps controlled variance

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical optimization and variational techniques (65K10) Dynamic programming (90C39) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Optimal stochastic control (93E20) Numerical analysis or methods applied to Markov chains (65C40)

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