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Applied Mathematics and Optimization

, Volume 57, Issue 2, pp 177–206 | Cite as

Time Discretisation and Rate of Convergence for the Optimal Control of Continuous-Time Stochastic Systems with Delay

  • Markus FischerEmail author
  • Giovanna Nappo
Article

Abstract

We study a semi-discretisation scheme for stochastic optimal control problems whose dynamics are given by controlled stochastic delay (or functional) differential equations with bounded memory. Performance is measured in terms of expected costs. By discretising time in two steps, we construct a sequence of approximating finite-dimensional Markovian optimal control problems in discrete time. The corresponding value functions converge to the value function of the original problem, and we derive an upper bound on the discretisation error or, equivalently, a worst-case estimate for the rate of convergence.

Keywords

Optimal control Stochastic differential equation Functional differential equation Delay Time lag Finite differences Time discretisation Approximation Error bound Convergence rate 

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Copyright information

© Springer Science+Business Media, LLC 2007

Authors and Affiliations

  1. 1.Institute for Applied MathematicsUniversity of HeidelbergHeidelbergGermany
  2. 2.Department of MathematicsUniversity of Rome “La Sapienza”RomeItaly

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