ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS
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Publication:3043554
DOI10.1142/S0218202503002660zbMATH Open1050.35042MaRDI QIDQ3043554FDOQ3043554
Authors: Espen R. Jakobsen 
Publication date: 6 August 2004
Published in: M\(^3\)AS. Mathematical Models \& Methods in Applied Sciences (Search for Journal in Brave)
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Cited In (36)
- Infinite reload options: pricing and analysis
- A priori estimates of smoothness of solutions to difference Bellman equations with linear and quasi-linear operators
- Solving stochastic optimal control problem via stochastic maximum principle with deep learning method
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- On finite-difference approximations for normalized Bellman equations
- ERROR ESTIMATES FOR A CLASS OF FINITE DIFFERENCE-QUADRATURE SCHEMES FOR FULLY NONLINEAR DEGENERATE PARABOLIC INTEGRO-PDES
- On randomized stopping
- Convergence of discontinuous Galerkin schemes for front propagation with obstacles
- On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
- A neural network approach for stochastic optimal control
- Continuous dependence estimates for viscosity solutions of integro-PDEs
- Error estimates of penalty schemes for quasi-variational inequalities arising from impulse control problems
- Convergence rates of Markov chain approximation methods for controlled diffusions with stopping
- A fitted finite volume method for stochastic optimal control problems in finance
- On the rate of convergence of finite-difference approximations for Bellman equations with constant coefficients
- Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs
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- Vanishing moment method and moment solutions for fully nonlinear second order partial differential equations
- On the rate of convergence of the finite-difference approximations for parabolic Bellman equations with constant coefficients
- Implications of a regime-switching model on natural gas storage valuation and optimal operation
- Convergence rates for semi-discrete splitting approximations for degenerate parabolic equations with source teams
- Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions
- An approximation scheme for semilinear parabolic PDEs with convex and coercive Hamiltonians
- Discrete time hedging of the American option
- Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
- A multidimensional exponential utility indifference pricing model with applications to counterparty risk
- PDE methods for optimal Skorokhod embeddings
- A numerical method for pricing European options with proportional transaction costs
- A monotone scheme for \(\mathrm{G}\)-equations with application to the explicit convergence rate of robust central limit theorem
- Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem
- Optimal convergence rate of the explicit finite difference scheme for American option valuation
- A stochastic approximation for fully nonlinear free boundary parabolic problems
- On the rate of convergence of the binomial tree scheme for American options
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- Convergence analysis of a parabolic nonlinear system arising in biology
- Rate of convergence of finite difference approximations for degenerate ordinary differential equations
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