Discrete Approximations

Part of the Stochastic Modelling and Applied Probability book series (SMAP, volume 59)

In this chapter we address some computational issues and propose various discrete approximations for the optimal classical control considered in Chapter 3. Although it is feasible that these approximations may be applicable to the optimal stopping problems outlined in Chapter 4, we, however, do not attempt to deal with them for the sake of space.


Control Problem Optimal Control Problem Initial Segment Discrete Approximation Jump Height 
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© Springer Science+Business Media, LLC 2008

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