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On the Convergence of Approximants to a Markov Chain, I

โœ Scribed by David A. Freedman


Book ID
123648202
Publisher
National Academy of Sciences
Year
1968
Tongue
English
Weight
206 KB
Volume
60
Category
Article
ISSN
0027-8424

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Convergence of Markov chain approximatio
โœ Q.S. Song ๐Ÿ“‚ Article ๐Ÿ“… 2008 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 188 KB

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 algor