Abstract
It is shown that value functions for controlled degenerate diffusion processes can be approximated with error of order $h^{1/3}$ by using policies which are constant on intervals $[kh^{2},(k+1)h^{2})$.
Citation
N. Krylov. "Approximating Value Functions for Controlled Degenerate Diffusion Processes by Using Piece-Wise Constant Policies." Electron. J. Probab. 4 1 - 19, 1999. https://doi.org/10.1214/EJP.v4-39
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