Numerical Approximations for Stochastic Differential Games

The Markov chain approximation method is a widely used, relatively easy to use, and efficient family of methods for the bulk of stochastic control problems in continuous time, for re

• Type: Journal
• Year: 2002
• Where: SIAMCO
• Authors: Harold J. Kushner
• Keywords: Ergodic Cost Criterion, Markov Chain, Numerical Method, SIAMCO 2002