Mathematical Modelling and Analysis (Jun 2011)
On approximation of value functions for controlled discontinuous random processes
Abstract
We consider the problem of approximation of value functions for controlled possibly degenerated diffusion processes with jumps by using piece-wise constant control policies. A rate of convergence for the corresponding value functions is established provided that the coefficients of controlled processes are sufficiently smooth. The paper extends the results of N.V. Krylov to a more general class of controlled processes.
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