Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems

DOI10.1214/19-ECP256zbMath1422.93186arXiv1901.01193OpenAlexW2973583302MaRDI QIDQ2274122

Espen R. Jakobsen, Athena Picarelli, Christoph Reisinger

Publication date: 19 September 2019

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1901.01193

zbMATH Keywords

optimal controlerror estimatesBellman's equationpiecewise constant policies

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)

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Probabilistic error analysis for some approximation schemes to optimal control problems ⋮ Discrete‐time approximation for stochastic optimal control problems under the G‐expectation framework ⋮ Continuity of cost in Borkar control topology and implications on discrete space and time approximations for controlled diffusions under several criteria ⋮ Approximate Q Learning for Controlled Diffusion Processes and Its Near Optimality ⋮ Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems ⋮ A Numerical Scheme for the Quantile Hedging Problem

Cites Work

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• An approximation scheme for the optimal control of diffusion processes
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