Accession Number:

AD0729920

Title:

Convergence of the Discretization Equations Which Arise in Stochastic Control,

Descriptive Note:

Corporate Author:

BROWN UNIV PROVIDENCE R I DIV OF APPLIED MATHEMATICS

Personal Author(s):

• Kushner,H. J.

Report Date:

1971-09-01

Pagination or Media Count:

19.0

Abstract:

The author considers a problem which arises in the numerical analysis of the degenerate partial differential equations which arise in stochastic control theory. The results also sheds some light on the relationship between diffusions and finite state Markov chains, and illustrates a role of probability theory in numerical analysis. Author

Descriptors:

• (*PARTIAL DIFFERENTIAL EQUATIONS
• NUMERICAL ANALYSIS)
• (*CONTROL SYSTEMS
• MATHEMATICAL MODELS)
• STOCHASTIC PROCESSES
• DIFFERENCE EQUATIONS
• INTEGRATION
• THEOREMS

Subject Categories:

• Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE