Abstract
This chapter is the core of the mathematical part of the book. It deals with the approximation and convergence theorems for the basic problem classes: discounted problems with absorbing boundaries; diffusion and jump diffusion models; optimal stopping problems, and problems where we stop on hitting a target set and where there is no discounting. The convergence results for the case of reflecting boundaries and the singular and ergodic control problems will appear in the next chapter.
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© 1992 Springer-Verlag New York, Inc.
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Kushner, H.J., Dupuis, P.G. (1992). Convergence Proofs. In: Numerical Methods for Stochastic Control Problems in Continuous Time. Applications of Mathematics, vol 24. Springer, New York, NY. https://doi.org/10.1007/978-1-4684-0441-8_11
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DOI: https://doi.org/10.1007/978-1-4684-0441-8_11
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4684-0443-2
Online ISBN: 978-1-4684-0441-8
eBook Packages: Springer Book Archive