On finite-difference approximations for normalized Bellman equations

DOI10.1007/s00245-009-9082-0zbMath1181.93090arXivmath/0610855OpenAlexW2099231838MaRDI QIDQ843969

István Gyöngy, David Šiška

Publication date: 18 January 2010

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0610855

zbMATH Keywords

finite-difference approximationsfully nonlinear equationsnormalized Bellman equationsoptimal stopping and control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20) Discrete approximations in optimal control (49M25)

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