Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/25052 
Year of Publication: 
2005
Series/Report no.: 
SFB 649 Discussion Paper No. 2005,038
Publisher: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Abstract: 
As a main step in the numerical solution of control problems in continous time, the controlled process is approximated by sequences of controlled Markov chains, thus discretizing time and space. A new feature in this context is to allow for delay in the dynamics. The existence of an optimal strategy with respect to the cost functional can be guaranteed in the class of relaxed controls. Weak convergence of the approximating extended Markov chains to the original process together with convergence of the associated optimal strategies is established.
Document Type: 
Working Paper

Files in This Item:
File
Size
522.13 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.