Approximation of controlled solutions of Ito's equation by controlled Markov chains

DOI10.1007/BF00968597zbMath0529.60082MaRDI QIDQ787592

H. Pragarauskas

Publication date: 1983

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

Bellman equationIto equationcontrolled Markov chainsconvergence of payoff functions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Diffusion processes (60J60) Existence theories for optimal control problems involving partial differential equations (49J20)

Related Items

Mean value theorems for stochastic integrals, Unnamed Item, On the rate of convergence of difference approximations for uniformly nondegenerate elliptic Bellman's equations

Cites Work

• Probability methods for approximations in stochastic control and for elliptic equations
• Approximations for functionals and optimal control problems on jump diffusion processes
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item