Numerical aspects of monotone approximations in convex stochastic control problems
In an earlier article by the first and third authors [J. Math. Syst. Estim. Control 4, 99-140 (1994; Zbl 0812.93078)] an approximation technique is described for convex, discrete time stochastic control problems. Here, the accuracy of these techniques is tested on the linear quadratic control problem and on an inventory control problem.
scientific article; zbMATH DE number 790994