Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems
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Publication:2212323
DOI10.1016/j.camwa.2019.12.010zbMath1453.49017arXiv2001.01110OpenAlexW2997307301WikidataQ126411344 ScholiaQ126411344MaRDI QIDQ2212323
Athena Picarelli, Christoph Reisinger
Publication date: 20 November 2020
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2001.01110
optimal controlerror estimatesdualityutility maximizationoptimal investmentMarkov chain approximation
Decision theory (91B06) Duality theory (optimization) (49N15) Discrete approximations in optimal control (49M25)
Related Items (3)
An Algorithm to Construct Subsolutions of Convex Optimal Control Problems ⋮ Probabilistic error analysis for some approximation schemes to optimal control problems ⋮ A robust consumption model when the intensity of technological progress is ambiguous
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