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Approximating Value Functions for Controlled Degenerate Diffusion Processes by Using Piece-Wise Constant Policies
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N. V. Krylov, University of Minnesota
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Abstract
It is shown that
value functions for controlled degenerate diffusion
processes can be approximated with error of order $h^{1/3}$
by using policies which are constant on intervals
$[kh^{2},(k+1)h^{2})$.
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Full text: PDF
Pages: 1-19
Published on: January 26, 1999
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Bibliography
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Electronic Journal of Probability. ISSN: 1083-6489 |
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