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The Viscosity Solution Approach to Proving Convergence of Numerical Schemes

  • Harold J. Kushner
  • Paul Dupuis
Part of the Stochastic Modelling and Applied Probability book series (SMAP, volume 24)

Abstract

In Chapters 10 to 15, we have shown the convergence of properly designed numerical approximations for a wide range of stochastic and deterministic optimal control problems. The approach to proving the convergence has been based on demonstrating the convergence of a sequence of controlled Markov chains to a controlled process (diffusion, jump diffusion, etc.) appropriate to the given stochastic or deterministic optimal control problem.

Keywords

Markov Chain Numerical Scheme Viscosity Solution Bellman Equation Finite Difference Approximation 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 2001

Authors and Affiliations

  • Harold J. Kushner
    • 1
  • Paul Dupuis
    • 1
  1. 1.Division of Applied MathematicsBrown UniversityProvidenceUSA

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