Open AccessApproximating Value Functions for Controlled Degenerate Diffusion Processes by Using Piece-Wise Constant Policies
Author(s) -
Н. В. Крылов
Publication year - 1999
Publication title -
electronic journal of probability
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.666
H-Index - 53
ISSN - 1083-6489
DOI - 10.1214/ejp.v4-39
Subject(s) - degenerate energy levels , mathematics , constant (computer programming) , diffusion , order (exchange) , value (mathematics) , fick's laws of diffusion , mathematical analysis , statistics , thermodynamics , physics , quantum mechanics , computer science , programming language , finance , economics
It is shown that value functions for controlled degener- ate diusion processes can be approximated with error of orderh1=3 by using policies which are constant on intervals (kh2; (k +1 )h2).
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