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A Solution to a Countable System of Equations Arising in Markovian Decision Processes

✍ Scribed by Cyrus Derman and Arthur F. Veinott, Jr.


Book ID
120990951
Publisher
Institute of Mathematical Statistics
Year
1967
Weight
364 KB
Volume
38
Category
Article
ISSN
0003-4851

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Euler scheme for solutions of a countabl
✍ Jaime San Martı́n; Soledad Torres πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 111 KB

We consider a countable system of stochastic di erential equation. Euler scheme for approximating these solutions is used, and the global error is estimated. Solutions are approximated by means of a process which takes values in a ΓΏnite dimensional space. Finally, we expand the global error for a cl