Accession Number : AD0778767
Title : Existence of Optimal Stochastic Controls (I). Convergence of the Finite Difference Approximations of a Discounted Problem for a Diffusion.
Descriptive Note : Technical rept.,
Corporate Author : BROWN UNIV PROVIDENCE R I CENTER FOR DYNAMICAL SYSTEMS
Personal Author(s) : Kushner,H. J.
Report Date : FEB 1974
Pagination or Media Count : 41
Abstract : In part one the author gives a fairly general method for proving the existence of an optimal control for a large class of stochastic differential equation models. In part two, it is shown that the solutions to finite difference approximations to the partial differential equation converge to C(x) as the difference interval goes to zero, whether or not the derivatives actually exist. The result generalizes previous results for similar problems, and the techniques can be applied to a number of related problems. (Modified author abstract)
Descriptors : *Control theory, *Finite difference theory, Stochastic processes, Measure theory, Convergence, Theorems
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE