This chapter is the core of the mathematical part of the book. It deals with the approximation and convergence theorems for the basic problem classes: discounted problems with absorbing boundaries; diffusion and jump diffusion models; optimal stopping problems, and problems where we stop on hitting a target set and where there is no discounting. The convergence results for the case of reflecting boundaries and the singular and ergodic control problems will appear in the next chapter.
KeywordsProbability Space Weak Convergence Wiener Process Convergent Subsequence Exit Time
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