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Approximating Value Functions for Controlled Degenerate Diffusion Processes by Using Piece-Wise Constant Policies

   
@article{EJP39,
	author = {N. Krylov},
	title = {Approximating Value Functions for Controlled Degenerate Diffusion Processes by Using Piece-Wise Constant Policies},
	journal = {Electron. J. Probab.},
	fjournal = {Electronic Journal of Probability},
	volume = {4},
	year = {1999},
	keywords = {Bellman's equations, fully nonlinear equations},
	abstract = {It is shown that value functions for controlled degenerate diffusion processes can be approximated with error of order $h^{1/3}$ by using policies which are constant on intervals $[kh^{2},(k+1)h^{2})$.},
	pages = {no. 2, 1-19},
	issn = {1083-6489},
	doi = {10.1214/EJP.v4-39},    
        url = {http://ejp.ejpecp.org/article/view/39}}