Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems

DOI10.1016/j.camwa.2019.12.010zbMath1453.49017arXiv2001.01110OpenAlexW2997307301WikidataQ126411344 ScholiaQ126411344MaRDI QIDQ2212323

Athena Picarelli, Christoph Reisinger

Publication date: 20 November 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.01110

zbMATH Keywords

optimal controlerror estimatesdualityutility maximizationoptimal investmentMarkov chain approximation

Mathematics Subject Classification ID

Decision theory (91B06) Duality theory (optimization) (49N15) Discrete approximations in optimal control (49M25)

Related Items (3)

An Algorithm to Construct Subsolutions of Convex Optimal Control Problems ⋮ Probabilistic error analysis for some approximation schemes to optimal control problems ⋮ A robust consumption model when the intensity of technological progress is ambiguous

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