Error analysis of a discretization for stochastic linear quadratic control problems governed by SDEs
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Abstract In this work, a time-implicit discretization for stochastic linear quadratic problems subject to stochastic differential equations with control-dependence noises is proposed, and the convergence rate of this discretization is proved. Compared to the existing results, the control variables are stochastic processes and can be contained in systems’ diffusion term. Based on this discretization, a gradient descent algorithm and its convergence rate are presented. Finally, a numerical example is provided to support the theoretical finding.
1993 ◽
Vol 38
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pp. 1722-1727
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2014 ◽
Vol 24
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pp. 723-733
1998 ◽
Vol 27
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pp. 51-55
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2007 ◽
Vol 31
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pp. 141-159
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1988 ◽
Vol 56
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pp. 407-432
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1988 ◽
Vol 135
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pp. 223
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2003 ◽
Vol 83
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pp. 219-237
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