• 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