On the convergence of policy iteration for controlled diffusions
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Cites work
- 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?)
- An Approximation Method in Optimal Stochastic Control
- Diffusion processes with boundary conditions
- On the Convergence of Policy Iteration in Stationary Dynamic Programming
- Optimal control of diffusion processes with reflection
Cited in
(10)- Rates of convergence for the policy iteration method for mean field games systems
- Exponential convergence and stability of Howard's policy improvement algorithm for controlled diffusions
- A mean field games model for finite mixtures of Bernoulli and categorical distributions
- The modified MSA, a gradient flow and convergence
- On the approximation of optimal stochastic controls
- A policy iteration method for mean field games
- Optimal investment strategies for pension funds with regulation-conform dynamic pension payment management in the absence of guarantees
- Policy iteration algorithms for zero-sum stochastic differential games with long-run average payoff criteria
- Policy iteration method for time-dependent mean field games systems with non-separable Hamiltonians
- A numerical method for pricing European options with proportional transaction costs
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