Mean value theorems for stochastic integrals

DOI10.1214/aop/1008956335zbMath1021.60042OpenAlexW2042371022MaRDI QIDQ1872190

Nicolai V. Krylov

Publication date: 6 May 2003

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1008956335

zbMATH Keywords

stochastic controlstochastic integralsnumerical approximations

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stochastic integrals (60H05)

Related Items (7)

Mean value theorems for the noncausal stochastic integral ⋮ On the time discretization of stochastic optimal control problems: The dynamic programming approach ⋮ Continuity of cost in Borkar control topology and implications on discrete space and time approximations for controlled diffusions under several criteria ⋮ Time discretisation and rate of convergence for the optimal control of continuous-time stochastic systems with delay ⋮ On the rate of convergence of finite-difference approximations for Bellman equations with constant coefficients ⋮ Valuation of volatility derivatives with time-varying volatility: an analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case ⋮ Error estimates for second order Hamilton-Jacobi-Bellman equations. Approximation of probabilistic reachable sets

Cites Work

• Approximation of controlled solutions of Ito's equation by controlled Markov chains
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• On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
• Discrete Methods for Fully Nonlinear Elliptic Equations
• ON THE SELECTION OF A MARKOV PROCESS FROM A SYSTEM OF PROCESSES AND THE CONSTRUCTION OF QUASI-DIFFUSION PROCESSES
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