Rates of Convergence for Approximation Schemes in Optimal Control

DOI10.1137/S0363012994267789zbMath0914.93072MaRDI QIDQ4388931

Paul Dupuis, Matthew R. James

Publication date: 10 May 1998

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

zbMATH Keywords

optimal controlrate of convergencefinite differencesergodic controlnonlinear PDEnumerical approximationreflected diffusions

Mathematics Subject Classification ID

Error bounds for boundary value problems involving PDEs (65N15) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Optimal stochastic control (93E20) Finite difference methods for boundary value problems involving PDEs (65N06)

Related Items

On the Taylor Expansion of Value Functions, Convergence of a semi-discretization scheme for the Hamilton-Jacobi equation: a new approach with the adjoint method, Continuous-time Random Walks for the Numerical Solution of Stochastic Differential Equations, Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions, Sticky Brownian Motion and Its Numerical Solution, Moderate deviations-based importance sampling for stochastic recursive equations, The Euler approximation in state constrained optimal control