DocumentCode
2817531
Title
Study of convergence rates of numerical methods for stochastic control problems
Author
Song, Q.S. ; Yin, G.
Author_Institution
Univ. of Southern California, Los Angeles
fYear
2007
fDate
12-14 Dec. 2007
Firstpage
3108
Lastpage
3113
Abstract
This work is concerned with convergence rates of numerical methods for stochastic control problems with a stopping time. We use Markov chain approximation techniques. Although the convergence rates may be studied by considering the convergence rates of finite difference schemes for Hamilton-Jacobi-Bellman (HJB) equations, in the current problem, there is an additional difficulty due to the boundary condition, which requires the continuity of the first exit time with respect to the discrete parameter. To prove the convergence of the algorithm by Markov chain approximation method, there might be a problem known as tangency problem. Convergence rate is achieved by boundary perturbation under certain assumption. Convergence rates of Markov chain approximation for certain controlled diffusion problems are verified.
Keywords
Markov processes; approximation theory; convergence of numerical methods; finite difference methods; stochastic systems; Hamilton-Jacobi-Bellman equations; Markov chain approximation; finite difference schemes; numerical methods convergence rates; stochastic control problems; Approximation algorithms; Approximation methods; Boundary conditions; Convergence of numerical methods; Costs; Difference equations; Finite difference methods; Mathematics; Stochastic processes; USA Councils;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 2007 46th IEEE Conference on
Conference_Location
New Orleans, LA
ISSN
0191-2216
Print_ISBN
978-1-4244-1497-0
Electronic_ISBN
0191-2216
Type
conf
DOI
10.1109/CDC.2007.4434198
Filename
4434198
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