On finite-difference approximations for normalized Bellman equations

DOI10.1007/S00245-009-9082-0MaRDI QIDQ843969zbMATH OpenOpenAlexFDO

Authors István Gyöngy, David Šiška

Publication date 18 January 2010

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0610855

zbMATH Keywords

fully nonlinear equationsfinite-difference approximationsnormalized Bellman equationsoptimal stopping and control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Discrete approximations in optimal control (49M25) Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20)

Abstract: A class of stochastic optimal control problems involving optimal stopping is considered. Methods of Krylov 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.

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Cited in

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• The modified MSA, a gradient flow and convergence
• Market based mechanisms for incentivising exchange liquidity provision
• A modified MSA for stochastic control problems
• On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
• Some Estimates for Finite Difference Approximations
• On the rate of convergence of finite-difference approximations for Bellman equations with constant coefficients
• Exponential convergence and stability of Howard's policy improvement algorithm for controlled diffusions
• On the rate of convergence of the finite-difference approximations for parabolic Bellman equations with constant coefficients
• ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS
• Interior estimates for second-order differences of solutions of finite-difference elliptic Bellman's equations

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