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Convergence Proofs

  • Harold J. Kushner
  • Paul Dupuis
Part of the Stochastic Modelling and Applied Probability book series (SMAP, volume 24)

Abstract

This chapter is the core of the mathematical part of the book. It deals with the approximation and convergence theorems for the basic problem classes: discounted problems with absorbing boundaries; diffusion and jump diffusion models; optimal stopping problems, and problems where we stop on hitting a target set and where there is no discounting. The convergence results for the case of reflecting boundaries and the singular and ergodic control problems will appear in the next chapter.

Keywords

Probability Space Weak Convergence Wiener Process Convergent Subsequence Exit Time 
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 Science+Business Media New York 2001

Authors and Affiliations

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

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