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Articles

On Approximation of Value Functions for Controlled Discontinuous Random Processes

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Pages 260-272 | Received 31 Aug 2010, Published online: 24 Jun 2011

References

  • Krylov , N.V. 1980 . Controlled Diffusion Processes , Berlin : Springer .
  • Krylov , N.V. 1999 . Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies. Electron . J. Probab. , 4 : 1 – 19 .
  • Krylov , N.V. and Pragarauskas , H. 1981 . Traditional derivation of Bellman equation for general controlled stochastic processes . Lith. Math. J. , 2 ( 21 ) : 146 – 152 .
  • Pragarauskas H. . Bellman's equation in a lattice of measures for general controlled stochastic processes . I. Lith. Math. J ., 21 4 353 – 363 , 1981 . doi: 10.1007/BF00969856 .
  • Pragarauskas H. . Bellman's equation in a lattice of measures for general controlled stochastic processes . II . Lith. Math. J ., 22 1 68 – 73 , 1982 . doi: 10.1007/BF00967929 .
  • Pragarauskas H. . Approximation of controlled solution of Ito's equation by controlled Markov chains . Lith. Math. J ., 1 23 98 – 108 , 1983 . doi: 10.1007/BF00968597 .

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