Convergence of the Discretization Equations Which Arise in Stochastic Control,

Abstract

The author considers a problem which arises in the numerical analysis of the degenerate partial differential equations which arise in stochastic control theory. The results also sheds some light on the relationship between diffusions and finite state Markov chains, and illustrates a role of probability theory in numerical analysis. (Author)

Document Details

Document Type
Technical Report
Publication Date
Sep 01, 1971
Accession Number
AD0729920

Entities

People

  • Harold J. Kushner

Organizations

  • Brown University

Tags

DTIC Thesaurus Topics

  • Control Theory
  • Differential Equations
  • Equations
  • Finite Difference Theory
  • Fokker Planck Equations
  • Markov Chains
  • Numerical Analysis
  • Partial Differential Equations
  • Probability
  • Stochastic Control

Fields of Study

  • Mathematics

Readers

  • Calculus or Mathematical Analysis
  • Mathematical Modeling and Probability Theory.