Translator Disclaimer
2019 Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems
Espen R. Jakobsen, Athena Picarelli, Christoph Reisinger
Electron. Commun. Probab. 24: 1-10 (2019). DOI: 10.1214/19-ECP256

Abstract

In N. V. Krylov, Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies, Electron. J. Probab., 4(2), 1999, it is proved under standard assumptions that the value functions of controlled diffusion processes can be approximated with order 1/6 error by those with controls which are constant on uniform time intervals. In this note we refine the proof and show that the provable rate can be improved to 1/4, which is optimal in our setting. Moreover, we demonstrate the improvements this implies for error estimates derived by similar techniques for approximation schemes, bringing these in line with the best available results from the PDE literature.

Citation

Download Citation

Espen R. Jakobsen. Athena Picarelli. Christoph Reisinger. "Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems." Electron. Commun. Probab. 24 1 - 10, 2019. https://doi.org/10.1214/19-ECP256

Information

Received: 4 January 2019; Accepted: 12 July 2019; Published: 2019
First available in Project Euclid: 18 September 2019

zbMATH: 1422.93186
MathSciNet: MR4017133
Digital Object Identifier: 10.1214/19-ECP256

Subjects:
Primary: 35K55, 49L20, 65M15, 93E20

JOURNAL ARTICLE
10 PAGES


SHARE
Back to Top