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

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)

Recommendations

• Rates of convergence of numerical methods for controlled regime-switching diffusions with stopping times in the costs
• Convergence of Markov chain approximation on generalized HJB equation and its applications
• Numerical solutions of stochastic control problems: Markov chain approximation methods
• ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS
• Numerical Approximations for Stochastic Differential Games

Cites Work

• scientific article; zbMATH DE number 1577097 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• scientific article; zbMATH DE number 3320019 (Why is no real title available?)
• Consistency issues for numerical methods for variance control, with applications to optimization in finance
• Numerical Methods for Stochastic Control Problems in Continuous Time
• Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions
• ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS
• On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
• On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
• 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
• SOME NEW RESULTS IN THE THEORY OF CONTROLLED DIFFUSION PROCESSES
• Some Estimates for Finite Difference Approximations
• The rate of convergence of finite-difference approximations for parabolic bellman equations with Lipschitz coefficients in cylindrical domains

Cited In (4)

• Rate of Convergence of Empirical Measures and Costs in Controlled Markov Chains and Transient Optimality
• Analysis of Markov chain approximation for diffusion models with nonsmooth coefficients
• 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

This page was built for publication: Convergence rates of Markov chain approximation methods for controlled diffusions with stopping

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q601074)