Some Estimates for Finite Difference Approximations

DOI10.1137/0327031MaRDI QIDQ4735120zbMATH OpenOpenAlexFDO

Authors José-Luis Menaldi

Publication date 1989

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://digitalcommons.wayne.edu/mathfrp/34

zbMATH Keywords

complete filtered probability spacediffusion processesdiscrete maximum principlefinite difference methodsHamilton-Jacobi-Bellman equationn-dimensional Wiener process

Mathematics Subject Classification ID

Discrete approximations in optimal control (49M25) Error analysis and interval analysis (65G99) Numerical optimization and variational techniques (65K10) Optimal stochastic control (93E20)

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• On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
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• Infinite horizon stochastic optimal control problems with running maximum cost
• An approximation scheme for the optimal control of diffusion processes
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• Finite element approximation of some indefinite elliptic problems
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• Robust market convergence: from discrete to continuous time
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• Discrete dynamic programming combined with finite difference algorithm for the sublinear expectation of \(\alpha\)-stable Lévy processes with \(1<\alpha<2\)
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• Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions

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