Approximation of controlled solutions of Ito's equation by controlled Markov chains

DOI10.1007/BF00968597zbMATH Open0529.60082MaRDI QIDQ787592FDOQ787592

Authors: Henrikas Pragarauskas 

Publication date: 1983

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

Bellman equationIto equationcontrolled Markov chainsconvergence of payoff functions

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence theories for optimal control problems involving partial differential equations (49J20) Optimal stochastic control (93E20)

Cites Work

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• Probability methods for approximations in stochastic control and for elliptic equations
• Approximations for functionals and optimal control problems on jump diffusion processes
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Cited In (3)

• Mean value theorems for stochastic integrals
• On the rate of convergence of difference approximations for uniformly nondegenerate elliptic Bellman's equations
• Title not available (Why is that?)

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