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scientific article; zbMATH DE number 1014727
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scientific article; zbMATH DE number 1014727 |
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10 November 1997
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dynamic programming
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convergence
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approximation
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controlled Markov process
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Lax-Richtmeyer theorem
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difference method
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[Part II, ibid. 32, No. 2, 139-158 (1996), is reviewed below.] The authors prove a convergence theorem for approximation of a continuous-time controlled Markov process by a discrete-time controlled Markov process. The theorem is analogous to the well-known Lax-Richtmeyer theorem which states that a consistent and stable difference method converges.
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