Convergence of finite element methods for singular stochastic control
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Publication:4560705
DOI10.1137/17M1155119zbMATH Open1403.93177arXiv1711.07542OpenAlexW2963636948MaRDI QIDQ4560705FDOQ4560705
Authors: Martin G. Vieten, Richard H. Stockbridge 
Publication date: 7 December 2018
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Abstract: A numerical method is proposed for a class of stochastic control problems including singular behavior. This method solves an infinite-dimensional linear program equivalent to the stochastic control problem using a finite element type approximation, which results in a solvable finite-dimensional program. The discretization scheme as well as the necessary assumptions are discussed, and a detailed convergence analysis for the discretization scheme is given. Its performance is illustrated by two examples featuring a long-term average cost criterion.
Full work available at URL: https://arxiv.org/abs/1711.07542
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- A Numerical Method for Solving Singular Stochastic Control Problems
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