Discrete-time approximation for stochastic optimal control problems under the G-expectation framework

2021/04/06 by Jiang, Lianzi
#93-08 (49L20 49M25 60H10 65K10 93E20) #FOS: Mathematics #Numerical Analysis (math.NA) #Optimization and Control (math.OC)

paper · doi:10.48550/arxiv.2104.02268

Abstract

In this paper, we propose a class of discrete-time approximation schemes for stochastic optimal control problems under the G-expectation framework. The proposed schemes are constructed recursively based on piecewise constant policy. We prove the convergence of the discrete schemes and determine the convergence rates. Several numerical examples are presented to illustrate the effectiveness of the obtained results.

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