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Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems

Abstract:

In N. V. Krylov, Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies, Electron. J. Probab., 4(2), 1999, it is proved under standard assumptions that the value functions of controlled diffusion processes can be approximated with order 1/6 error by those with controls which are constant on uniform time intervals. In this note we refine the proof and show that the provable rate can be improved to 1/4, which is optimal in our setting. ...

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Publication status:
Published
Peer review status:
Peer reviewed
Version:
Publisher's Version

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Publisher copy:
10.1214/19-ECP256

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Institution:
University of Oxford
Division:
MPLS Division
Department:
Mathematical Institute
Oxford college:
St Catherines College
ORCID:
0000-0003-4027-5298
Jakobsen, E More by this author
Picarelli, A More by this author
Publisher:
Institute of Mathematical Statistics Publisher's website
Journal:
Electronic Communications in Probability Journal website
Volume:
24
Issue:
2019
Pages:
Article: 59
Publication date:
2019-09-18
Acceptance date:
2019-07-12
DOI:
ISSN:
1083-589X
Pubs id:
pubs:1031686
URN:
uri:2345aea7-a508-44c0-8797-849078939f0d
UUID:
uuid:2345aea7-a508-44c0-8797-849078939f0d
Local pid:
pubs:1031686

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