Convergence of Markov chain approximation on generalized HJB equation and its applications
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- Saddle points of discrete Markov zero-sum game with stopping
- Convergence of the optimal feedback policies in a numerical method for a class of deterministic optimal control problems
- On the convergence of an approximation scheme for the viscosity solutions of the Bellman equation arising in a stochastic optimal control problem
- A sparse Markov chain approximation of LQ-type stochastic control problems.
- Proof of the convergence of the successive approximation algorithm for numerically solving the Hamilton-Jacobi-Bellman equation
- Consistency of Generalized Finite Difference Schemes for the Stochastic HJB Equation
- scientific article; zbMATH DE number 2059639 (Why is no real title available?)
- Nonlinear Parabolic Equations Arising in Mathematical Finance
- Numerical Approximations for Stochastic Differential Games
- Discounted continuous-time controlled Markov chains: convergence of control models
- CPDO with finite termination: maximal return under cash-in and cash-out conditions
- Convergence rates of Markov chain approximation methods for controlled diffusions with stopping
- Optimal active lifetime investment
- Optimal dividends for regulated insurers with a nonlinear penalty
- Markov chain approximation for Hamilton-Jacobi-Bellman equation with absorbing boundary
- Stochastic optimization for multispecies fisheries in the barents sea
- Extended Vidale-Wolfe model on joint emission reduction and low-carbon advertising strategy design in a secondary supply chain
- Stabilization of a class of nonlinear control systems via a neural network scheme with convergence analysis
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