Abstract
In Chapters 10 to 15, 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.
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© 2001 Springer Science+Business Media New York
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Kushner, H.J., Dupuis, P. (2001). The Viscosity Solution Approach to Proving Convergence of Numerical Schemes. In: Numerical Methods for Stochastic Control Problems in Continuous Time. Stochastic Modelling and Applied Probability, vol 24. Springer, New York, NY. https://doi.org/10.1007/978-1-4613-0007-6_17
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DOI: https://doi.org/10.1007/978-1-4613-0007-6_17
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4612-6531-3
Online ISBN: 978-1-4613-0007-6
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