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Convergence of Markov chain approximation on generalized HJB equation and its applications

✍ Scribed by Q.S. Song

Publisher: Elsevier Science
Year: 2008
Tongue: English
Weight: 188 KB
Volume: 44
Category: Article
ISSN: 0005-1098
DOI: 10.1016/j.automatica.2007.07.014

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✦ Synopsis

This work is concerned with numerical methods for a class of stochastic control optimizations and stochastic differential games. Numerical procedures based on Markov chain approximation techniques are developed in a framework of generalized Hamilton-Jacobi-Bellman equations. Convergence of the algorithms is derived by means of viscosity solution methods.

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