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

Authors:
Q. S. Song
Affiliations:
Department of Mathematics, University of Southern California, 3620 South Vermont Ave. KAP 108 Los Angeles, Los Angeles, CA 90089-2532, USA
Venue:
Automatica (Journal of IFAC)
Year:
2008

Citing 5
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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.