On approximation of value functions for controlled discontinuous random processes

    Svetlana Danilenko Info
    Henrikas Pragarauskas Info

Abstract

We consider the problem of approximation of value functions for controlled possibly degenerated diffusion processes with jumps by using piece-wise constant control policies. A rate of convergence for the corresponding value functions is established provided that the coefficients of controlled processes are sufficiently smooth. The paper extends the results of N.V. Krylov to a more general class of controlled processes.

Keywords:

Controlled diffusion processes with jumps, Bellman principle, piece-wise constant strategies, value functions

How to Cite

Danilenko, S., & Pragarauskas, H. (2011). On approximation of value functions for controlled discontinuous random processes. Mathematical Modelling and Analysis, 16(2), 260-272. https://doi.org/10.3846/13926292.2011.580015

Share

Published in Issue
June 24, 2011
Abstract Views
545

View article in other formats

CrossMark check

CrossMark logo

Published

2011-06-24

Issue

Section

Articles

How to Cite

Danilenko, S., & Pragarauskas, H. (2011). On approximation of value functions for controlled discontinuous random processes. Mathematical Modelling and Analysis, 16(2), 260-272. https://doi.org/10.3846/13926292.2011.580015

Share