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Convergence of the Discretization Equations Which Arise in Stochastic Control,
BROWN UNIV PROVIDENCE R I DIV OF APPLIED MATHEMATICS
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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
APPROVED FOR PUBLIC RELEASE