On the convergence of policy iteration for controlled diffusions
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Cites work
- An Approximation Method in Optimal Stochastic Control
- Diffusion processes with boundary conditions
- scientific article; zbMATH DE number 3505708 (Why is no real title available?)
- scientific article; zbMATH DE number 3209641 (Why is no real title available?)
- scientific article; zbMATH DE number 3287297 (Why is no real title available?)
- On the Convergence of Policy Iteration in Stationary Dynamic Programming
- Optimal control of diffusion processes with reflection
Cited in
(14)- On the approximation of optimal stochastic controls
- A mean field games model for finite mixtures of Bernoulli and categorical distributions
- Optimal investment strategies for pension funds with regulation-conform dynamic pension payment management in the absence of guarantees
- Policy iteration method for time-dependent mean field games systems with non-separable Hamiltonians
- A policy iteration method for mean field games
- Policy iteration algorithms for zero-sum stochastic differential games with long-run average payoff criteria
- Exponential convergence and stability of Howard's policy improvement algorithm for controlled diffusions
- The modified MSA, a gradient flow and convergence
- Policy iteration for exploratory Hamilton-Jacobi-Bellman equations
- Convergence of policy iteration for entropy-regularized stochastic control problems
- Convergence analysis for entropy-regularized control problems: a probabilistic approach
- The Howard's policy iteration and convergence for optimal dividend under compound-Poisson model
- A numerical method for pricing European options with proportional transaction costs
- Rates of convergence for the policy iteration method for mean field games systems
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