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On finite-difference approximations for normalized Bellman equations
A class of stochastic optimal control problems involving optimal stopping is
considered. Methods of Krylov are adapted to investigate the numerical
solutions of the corresponding normalized Bellman equations and to estimate the
rate of convergence of finite difference approximations for the optimal reward
functions.Comment: 36 pages, ArXiv version updated to the version accepted in Appl.
Math. Opti
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