Approximating Value Functions for Controlled Degenerate Diffusion Processes by Using Piece-Wise Constant Policies

N. V. Krylov (University of Minnesota)

Abstract


It is shown that value functions for controlled degenerate diffusion processes can be approximated with error of order $h^{1/3}$ by using policies which are constant on intervals $[kh^{2},(k+1)h^{2})$.

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Pages: 1-19

Publication Date: January 26, 1999

DOI: 10.1214/EJP.v4-39

References

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