Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/25052 
Erscheinungsjahr: 
2005
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2005,038
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
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.
Dokumentart: 
Working Paper

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