Convergence rates of Markov chain approximation methods for controlled diffusions with stopping

DOI10.1007/s11424-010-0148-5zbMath1210.60081OpenAlexW2086418723MaRDI QIDQ601074

Qingshuo Song, G. George Yin

Publication date: 3 November 2010

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-010-0148-5

zbMATH Keywords

rate of convergencecontrolled diffusiondynamic programming equationMarkov chain approximation

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Optimal stochastic control (93E20) Numerical analysis or methods applied to Markov chains (65C40) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

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