We present a numerical approximation scheme for the infinite horizon problem related to diffusion processes. The scheme is based on a discrete version of the dynamic programming principle and converges to the viscosity solution of the second order Hamilton-Jacobi-Bellman equation. The diffusion can be degenerate. The problem R(n) is solved in a bounded domain Omega using a truncation technique and without imposing invariance conditions on Omega. We prove explicit estimates of the error due to the truncation technique.

An approximation scheme for the optimal control of diffusion processes / Camilli, Fabio; Falcone, Maurizio. - In: MODÉLISATION MATHÉMATIQUE ET ANALYSE NUMÉRIQUE. - ISSN 0764-583X. - STAMPA. - 29:(1995), pp. 97-122.

An approximation scheme for the optimal control of diffusion processes

CAMILLI, FABIO;FALCONE, Maurizio
1995

Abstract

We present a numerical approximation scheme for the infinite horizon problem related to diffusion processes. The scheme is based on a discrete version of the dynamic programming principle and converges to the viscosity solution of the second order Hamilton-Jacobi-Bellman equation. The diffusion can be degenerate. The problem R(n) is solved in a bounded domain Omega using a truncation technique and without imposing invariance conditions on Omega. We prove explicit estimates of the error due to the truncation technique.
HAMILTON-JACOBI-BELLMAN EQUATIONS; VISCOSITY SOLUTIONS; STOCHASTIC CONTROL; NUMERICAL METHODS
01 Pubblicazione su rivista::01a Articolo in rivista
An approximation scheme for the optimal control of diffusion processes / Camilli, Fabio; Falcone, Maurizio. - In: MODÉLISATION MATHÉMATIQUE ET ANALYSE NUMÉRIQUE. - ISSN 0764-583X. - STAMPA. - 29:(1995), pp. 97-122.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/405750
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