- Abstract:
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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. ...
Expand abstract - Publication status:
- Published
- Peer review status:
- Peer reviewed
- Version:
- Publisher's Version
- Files:
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(pdf, 206.1kb)
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- Publisher copy:
- 10.1214/19-ECP256
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- 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:
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1083-589X
- Pubs id:
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pubs:1031686
- URN:
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uri:2345aea7-a508-44c0-8797-849078939f0d
- UUID:
-
uuid:2345aea7-a508-44c0-8797-849078939f0d
- Local pid:
- pubs:1031686
- Copyright date:
- 2019
- Notes:
- This article is open access, provided by Creative Commons license (https://creativecommons.org/licenses/by/4.0)
Journal article
Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems
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