ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS
From MaRDI portal
(Redirected from Publication:3043554)
Theoretical approximation in context of PDEs (35A35) Initial value problems for second-order parabolic equations (35K15) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Discrete approximations in optimal control (49M25) Stopping times; optimal stopping problems; gambling theory (60G40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
Recommendations
- On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
- On the convergence from discrete to continuous time in an optimal stopping problem.
- On finite-difference approximations for normalized Bellman equations
- On the rate of convergence of finite-difference approximations for Bellman equations with constant coefficients
- On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
Cites work
- A numerical approach to the infinite horizon problem of deterministic control theory
- An approximation scheme for the optimal control of diffusion processes
- Approximation schemes for viscosity solutions of Hamilton-Jacobi equations
- Continuous dependence estimates for viscosity solutions of fully nonlinear degenerate parabolic equations
- Discrete dynamic programming and viscosity solutions of the Bellman equation
- scientific article; zbMATH DE number 3725605 (Why is no real title available?)
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- On a discrete approximation of the Hamilton-Jacobi equation of dynamic programming
- On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
- Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
- Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
- Some Estimates for Finite Difference Approximations
- Two approximations of solutions of Hamilton-Jacobi equations
- User’s guide to viscosity solutions of second order partial differential equations
- Variational inequalities and the pricing of American options
- Viscosity solutions of fully nonlinear second-order elliptic partial differential equations
Cited in
(40)- On randomized stopping
- On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
- Continuous dependence estimates for viscosity solutions of integro-PDEs
- A fitted finite volume method for stochastic optimal control problems in finance
- Optimal convergence rate of the explicit finite difference scheme for American option valuation
- On the rate of convergence of the finite-difference approximations for parabolic Bellman equations with constant coefficients
- Convergence analysis of a parabolic nonlinear system arising in biology
- PDE methods for optimal Skorokhod embeddings
- On the rate of convergence of the binomial tree scheme for American options
- Convergence rates for semi-discrete splitting approximations for degenerate parabolic equations with source teams
- Solving stochastic optimal control problem via stochastic maximum principle with deep learning method
- A multidimensional exponential utility indifference pricing model with applications to counterparty risk
- Convergence of discontinuous Galerkin schemes for front propagation with obstacles
- scientific article; zbMATH DE number 5848599 (Why is no real title available?)
- Discrete time hedging of the American option
- scientific article; zbMATH DE number 4204265 (Why is no real title available?)
- Rate of convergence of finite difference approximations for degenerate ordinary differential equations
- A priori estimates of smoothness of solutions to difference Bellman equations with linear and quasi-linear operators
- ERROR ESTIMATES FOR A CLASS OF FINITE DIFFERENCE-QUADRATURE SCHEMES FOR FULLY NONLINEAR DEGENERATE PARABOLIC INTEGRO-PDES
- Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
- scientific article; zbMATH DE number 1054896 (Why is no real title available?)
- Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem
- scientific article; zbMATH DE number 1900176 (Why is no real title available?)
- Implications of a regime-switching model on natural gas storage valuation and optimal operation
- An approximation scheme for semilinear parabolic PDEs with convex and coercive Hamiltonians
- Error estimates of penalty schemes for quasi-variational inequalities arising from impulse control problems
- A stochastic approximation for fully nonlinear free boundary parabolic problems
- On the rate of convergence of finite-difference approximations for Bellman equations with constant coefficients
- Convergence rates of Markov chain approximation methods for controlled diffusions with stopping
- Vanishing moment method and moment solutions for fully nonlinear second order partial differential equations
- A monotone scheme for \(\mathrm{G}\)-equations with application to the explicit convergence rate of robust central limit theorem
- A neural network approach for stochastic optimal control
- Precise error bounds for numerical approximations of fractional HJB equations
- Convergence rates for Chernoff-type approximations of convex monotone semigroups
- Convergence of the deep BSDE method for stochastic control problems formulated through the stochastic maximum principle
- A numerical method for pricing European options with proportional transaction costs
- Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs
- On finite-difference approximations for normalized Bellman equations
- Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions
- Infinite reload options: pricing and analysis
This page was built for publication: ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3043554)
