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The Viscosity Solution Approach to Proving Convergence of Numerical Schemes

  • Harold J. Kushner
  • Paul G. Dupuis
Part of the Applications of Mathematics book series (SMAP, volume 24)

Abstract

In Chapters 10 to 13, 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 Stochastic Control Problem 
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-Verlag New York, Inc. 1992

Authors and Affiliations

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

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