On the convergence of policy iteration for controlled diffusions

DOI10.1007/BF00935182zbMath0421.93089OpenAlexW2005728609MaRDI QIDQ1133515

Martin L. Puterman

Publication date: 1981

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00935182

zbMATH Keywords

convergence ratesNewton's methoddiffusion processesstochastic control theorypolicy iteration

Mathematics Subject Classification ID

Related Items (9)

Rates of convergence for the policy iteration method for mean field games systems ⋮ 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 ⋮ Exponential Convergence and Stability of Howard's Policy Improvement Algorithm for Controlled Diffusions ⋮ On the approximation of optimal stochastic controls ⋮ Policy iteration algorithms for zero-sum stochastic differential games with long-run average payoff criteria ⋮ A mean field games model for finite mixtures of Bernoulli and categorical distributions ⋮ A numerical method for pricing European options with proportional transaction costs ⋮ A policy iteration method for mean field games

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal control of diffusion processes with reflection
• On the Convergence of Policy Iteration in Stationary Dynamic Programming
• An Approximation Method in Optimal Stochastic Control
• Diffusion processes with boundary conditions

This page was built for publication: On the convergence of policy iteration for controlled diffusions