On Finite-Difference Approximations for Normalized Bellman Equations

Istvan Gyongy; David Siska

doi:10.1007/s00245-009-9082-0

On Finite-Difference Approximations for Normalized Bellman Equations

Istvan Gyongy, David Siska

School of Mathematics

Research output: Contribution to journal › Article › peer-review

Abstract

A class of stochastic optimal control problems involving optimal stopping is considered. Methods of Krylov (Appl. Math. Optim. 52(3):365-399, 2005) are adapted to investigate the numerical solutions of the corresponding normalized Bellman equations and to estimate the rate of convergence of finite difference approximations for the optimal reward functions.

Original language	English
Pages (from-to)	297-339
Number of pages	43
Journal	Applied Mathematics and Optimization
Volume	60
Issue number	3
DOIs	https://doi.org/10.1007/s00245-009-9082-0
Publication status	Published - Dec 2009

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10.1007/s00245-009-9082-0

ON FINITE-DIFFERENCE APPROXIMATIONS FOR NORMALIZED BELLMAN EQUATIONS
The final publication is available at Springer via http://dx.doi.org/10.1007/s00245-009-9082-0
Accepted author manuscript, 216 KB

http://link.springer.com/article/10.1007%2Fs00245-009-9082-0

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abstract = "A class of stochastic optimal control problems involving optimal stopping is considered. Methods of Krylov (Appl. Math. Optim. 52(3):365-399, 2005) are adapted to investigate the numerical solutions of the corresponding normalized Bellman equations and to estimate the rate of convergence of finite difference approximations for the optimal reward functions.",

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AB - A class of stochastic optimal control problems involving optimal stopping is considered. Methods of Krylov (Appl. Math. Optim. 52(3):365-399, 2005) are adapted to investigate the numerical solutions of the corresponding normalized Bellman equations and to estimate the rate of convergence of finite difference approximations for the optimal reward functions.

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JO - Applied Mathematics and Optimization

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SN - 0095-4616

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On Finite-Difference Approximations for Normalized Bellman Equations

Abstract

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