Markov chain approximation for Hamilton-Jacobi-Bellman equation with absorbing boundary

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Viscosity solutions to PDEs (35D40) Hamilton-Jacobi equations (35F21) Jump processes on general state spaces (60J76)

Cites Work

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