Title :
Markov chain approximation methods on generalized HJB equation
Author :
Li, Xueping ; Song, Q.S.
Author_Institution :
Univ. of Tennessee-Knoxville, Knoxville
Abstract :
This work is concerned with numerical methods for a class of stochastic control optimizations and stochastic differential games. Numerical procedures based on Markov chain approximation techniques are developed in a framework of generalized Hamilton-Jacobi-Bellman equations. Convergence of the algorithms is derived by means of viscosity solution methods.
Keywords :
Markov processes; approximation theory; convergence of numerical methods; stochastic games; stochastic systems; Markov chain approximation method; generalized Hamilton-Jacobi-Bellman equation; numerical convergence method; stochastic control optimization; stochastic differential game; viscosity solution method; Approximation methods; Communication system control; Convergence of numerical methods; Differential equations; Finite difference methods; Nonlinear equations; Signal processing algorithms; Stochastic processes; Stochastic systems; Viscosity;
Conference_Titel :
Decision and Control, 2007 46th IEEE Conference on
Conference_Location :
New Orleans, LA
Print_ISBN :
978-1-4244-1497-0
Electronic_ISBN :
0191-2216
DOI :
10.1109/CDC.2007.4434068
