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

DOI10.1007/S11424-010-0148-5zbMATH Open1210.60081OpenAlexW2086418723MaRDI QIDQ601074FDOQ601074

Authors: Qingshuo Song, G. 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

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zbMATH Keywords

rate of convergencedynamic programming equationMarkov chain approximationcontrolled diffusion

Mathematics Subject Classification ID

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

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• ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS
• Rate of convergence of finite difference approximations for degenerate ordinary differential equations
• Rates of convergence of numerical methods for controlled regime-switching diffusions with stopping times in the costs
• Consistency issues for numerical methods for variance control, with applications to optimization in finance

Cited In (3)

• Rate of Convergence of Empirical Measures and Costs in Controlled Markov Chains and Transient Optimality
• Rates of convergence of numerical methods for controlled regime-switching diffusions with stopping times in the costs
• The stopped distributions of a controlled Markov chain with discrete time

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