On approximation of value functions for controlled discontinuous random processes
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 functionsHow to Cite
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Copyright (c) 2011 The Author(s). Published by Vilnius Gediminas Technical University.
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Copyright (c) 2011 The Author(s). Published by Vilnius Gediminas Technical University.
License
This work is licensed under a Creative Commons Attribution 4.0 International License.