The Viscosity Solution Approach to Proving Convergence of Numerical Schemes
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.
KeywordsMarkov Chain Numerical Scheme Viscosity Solution Bellman Equation Finite Difference Approximation
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