Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies

Electronic Journal of Probability

Volumn 4, Issue , 1999, Pages 1-19

  Krylov, N V ^a  

^a UNIVERSITY OF MINNESOTA   (United States)

Author keywords

Bellman s equations; Fully nonlinear equations

Indexed keywords

EID: 0007384270     PISSN: None     EISSN: 10836489     Source Type: Journal    
DOI: 10.1214/EJP.v4-39     Document Type: Article

References (7)

1. M. Bardi and I. Cappuzo-Dolcetta (1997), Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations, Birkhauser, Boston.
2. I.I. Gihman, Certain differential equations with random functions, Ukrainski Mat. Zh., 2, 4 (1950), 37-63 and 3, 3 (1951), 317-339 (in Russian).
3. W. Fleming and M. Soner (1993), Controlled Markov processes and viscosity solutions, Springer.
4. N. V. Krylov (1977), Controlled diffusion processes, Nauka, Moscow, in Russian; English translation: Springer, 1980.
5. N.V. Krylov (1997), On the rate of convergence of finite-difference approximations for Bellman’s equations, AjireSpa h AHajiH3, St. Petersburg Math. J., 9, 3, 245-256.
6. N.V. Krylov, Mean value theorems for stochastic integrals, submitted to the Annals of Probability.
7. N.V. Krylov, On the rate of convergence of finite-difference approximations for Bellman’s equations with variable coefficients, submitted to Probability Theory and Related Fields.