Browsing NTNU Open by Author "Picarelli, Athena"
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Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems
Jakobsen, Espen Robstad; Picarelli, Athena; Reisinger, Christoph (Journal article; Peer reviewed, 2019)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 ...