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On Finite-Difference Approximations for Normalized Bellman Equations

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Abstract

A class of stochastic optimal control problems involving optimal stopping is considered. Methods of Krylov (Appl. Math. Optim. 52(3):365–399, 2005) are adapted to investigate the numerical solutions of the corresponding normalized Bellman equations and to estimate the rate of convergence of finite difference approximations for the optimal reward functions.

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Authors and Affiliations

  1. School of Mathematics and Maxwell Institute, University of Edinburgh, King’s Buildings, Edinburgh, EH9 3JZ, UK

    István Gyöngy

  2. FIRST FRG, BNP Paribas, 10 Harewood Avenue, London, NW1 6AA, UK

    David Šiška

Authors
  1. István Gyöngy
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  2. David Šiška
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Correspondence to David Šiška.

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Gyöngy, I., Šiška, D. On Finite-Difference Approximations for Normalized Bellman Equations. Appl Math Optim 60, 297–339 (2009). https://doi.org/10.1007/s00245-009-9082-0

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  • DOI: https://doi.org/10.1007/s00245-009-9082-0

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