Strong convergence in the infinite horizon of numerical methods for stochastic differential equations.
Wei LiuYudong WangPublished in: CoRR (2023)
Keyphrases
- infinite horizon
- numerical methods
- brownian motion
- stochastic differential equations
- differential equations
- optimal control
- long run
- partial differential equations
- dynamic programming
- optimal policy
- markov decision processes
- production planning
- inventory level
- state space
- dynamical systems
- average cost
- maximum a posteriori estimation
- lead time
- object recognition
- reinforcement learning
- control strategy
- decision problems
- multistage