Convergence of Markov chain approximation on generalized HJB equation and its applications

Q. S. Song

doi:10.1016/j.automatica.2007.07.014

Convergence of Markov chain approximation on generalized HJB equation and its applications

Q. S. Song

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

26 Citations (Scopus)

Abstract

This work is concerned with numerical methods for a class of stochastic control optimizations and stochastic differential games. Numerical procedures based on Markov chain approximation techniques are developed in a framework of generalized Hamilton-Jacobi-Bellman equations. Convergence of the algorithms is derived by means of viscosity solution methods. © 2007 Elsevier Ltd. All rights reserved.

Original language	English
Pages (from-to)	761-766
Journal	Automatica
Volume	44
Issue number	3
DOIs	https://doi.org/10.1016/j.automatica.2007.07.014
Publication status	Published - Mar 2008
Externally published	Yes

Research Keywords

Convergence of numerical methods
Differential games
Dynamic programming
Stochastic control

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10.1016/j.automatica.2007.07.014

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title = "Convergence of Markov chain approximation on generalized HJB equation and its applications",

abstract = "This work is concerned with numerical methods for a class of stochastic control optimizations and stochastic differential games. Numerical procedures based on Markov chain approximation techniques are developed in a framework of generalized Hamilton-Jacobi-Bellman equations. Convergence of the algorithms is derived by means of viscosity solution methods. {\textcopyright} 2007 Elsevier Ltd. All rights reserved.",

keywords = "Convergence of numerical methods, Differential games, Dynamic programming, Stochastic control",

author = "Song, {Q. S.}",

year = "2008",

month = mar,

doi = "10.1016/j.automatica.2007.07.014",

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T1 - Convergence of Markov chain approximation on generalized HJB equation and its applications

AU - Song, Q. S.

PY - 2008/3

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N2 - This work is concerned with numerical methods for a class of stochastic control optimizations and stochastic differential games. Numerical procedures based on Markov chain approximation techniques are developed in a framework of generalized Hamilton-Jacobi-Bellman equations. Convergence of the algorithms is derived by means of viscosity solution methods. © 2007 Elsevier Ltd. All rights reserved.

AB - This work is concerned with numerical methods for a class of stochastic control optimizations and stochastic differential games. Numerical procedures based on Markov chain approximation techniques are developed in a framework of generalized Hamilton-Jacobi-Bellman equations. Convergence of the algorithms is derived by means of viscosity solution methods. © 2007 Elsevier Ltd. All rights reserved.

KW - Convergence of numerical methods

KW - Differential games

KW - Dynamic programming

KW - Stochastic control

UR - http://www.scopus.com/inward/record.url?scp=39449089859&partnerID=8YFLogxK

UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-39449089859&origin=recordpage

U2 - 10.1016/j.automatica.2007.07.014

DO - 10.1016/j.automatica.2007.07.014

M3 - RGC 21 - Publication in refereed journal

SN - 0005-1098

VL - 44

SP - 761

EP - 766

JO - Automatica

JF - Automatica

IS - 3

ER -

Convergence of Markov chain approximation on generalized HJB equation and its applications

Abstract

Research Keywords

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