Consistency of a simple multidimensional scheme for Hamilton-Jacobi-Bellman equations

被引：9

作者：

Munos, R ^{[1
]}

Zidani, H

机构：

[1] Ecole Polytech, Ctr Math Appl, F-91128 Palaiseau, France

[2] ENSTA, Lab Math Appl, F-75739 Paris, France

来源：

COMPTES RENDUS MATHEMATIQUE | 2005年 / 340卷 / 07期

关键词：

D O I：

10.1016/j.crma.2005.02.001

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This Note presents an approximation scheme for second-order Hamilton-Jacobi-Bellman equations arising in stochastic optimal control. The scheme is based on a Markov chain approximation method. It is easy to implement in any dimension. The consistency of the scheme is proved, which guarantees its convergence. (c) 2005 Academie des sciences. Published by Elsevier SAS. All rights reserved.

引用

页码：499 / 502

页数：4

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