On finite-difference approximations for normalized Bellman equations

DOI10.1007/S00245-009-9082-0zbMATH Open1181.93090arXivmath/0610855OpenAlexW2099231838MaRDI QIDQ843969FDOQ843969

Authors: István Gyöngy, David Šiška 

Publication date: 18 January 2010

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

Abstract: A class of stochastic optimal control problems involving optimal stopping is considered. Methods of Krylov are adapted to investigate the numerical solutions of the corresponding normalized Bellman equations and to estimate the rate of convergence of finite difference approximations for the optimal reward functions.

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

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zbMATH Keywords

fully nonlinear equationsfinite-difference approximationsnormalized Bellman equationsoptimal stopping and control

Mathematics Subject Classification ID

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

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Cited In (10)

• A modified MSA for stochastic control problems
• On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
• Exponential convergence and stability of Howard's policy improvement algorithm for controlled diffusions
• Some Estimates for Finite Difference Approximations
• On the rate of convergence of finite-difference approximations for Bellman equations with constant coefficients
• The modified MSA, a gradient flow and convergence
• On the rate of convergence of the finite-difference approximations for parabolic Bellman equations with constant coefficients
• Market based mechanisms for incentivising exchange liquidity provision
• ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS
• Interior estimates for second-order differences of solutions of finite-difference elliptic Bellman's equations

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