Abstract
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.
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsPreview
Unable to display preview. Download preview PDF.
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2001 Springer Science+Business Media New York
About this chapter
Cite this chapter
Kushner, H.J., Dupuis, P. (2001). Convergence Proofs. In: Numerical Methods for Stochastic Control Problems in Continuous Time. Stochastic Modelling and Applied Probability, vol 24. Springer, New York, NY. https://doi.org/10.1007/978-1-4613-0007-6_11
Download citation
DOI: https://doi.org/10.1007/978-1-4613-0007-6_11
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4612-6531-3
Online ISBN: 978-1-4613-0007-6
eBook Packages: Springer Book Archive