{"id":"https://openalex.org/W2026060019","doi":"https://doi.org/10.1109/cdc.2007.4434198","title":"Study of convergence rates of numerical methods for stochastic control problems","display_name":"Study of convergence rates of numerical methods for stochastic control problems","publication_year":2007,"publication_date":"2007-01-01","ids":{"openalex":"https://openalex.org/W2026060019","doi":"https://doi.org/10.1109/cdc.2007.4434198","mag":"2026060019"},"language":"en","primary_location":{"id":"doi:10.1109/cdc.2007.4434198","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cdc.2007.4434198","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2007 46th IEEE Conference on Decision and Control","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5031200335","display_name":"Qingshuo Song","orcid":"https://orcid.org/0000-0002-9289-7462"},"institutions":[{"id":"https://openalex.org/I1174212","display_name":"University of Southern California","ror":"https://ror.org/03taz7m60","country_code":"US","type":"education","lineage":["https://openalex.org/I1174212"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Q.S. Song","raw_affiliation_strings":["The Department of Mathematics, University of Southern California, Los Angeles, CA, USA","University of Southern California , Los Angeles#TAB#"],"affiliations":[{"raw_affiliation_string":"The Department of Mathematics, University of Southern California, Los Angeles, CA, USA","institution_ids":["https://openalex.org/I1174212"]},{"raw_affiliation_string":"University of Southern California , Los Angeles#TAB#","institution_ids":["https://openalex.org/I1174212"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5052307918","display_name":"Gang Yin","orcid":"https://orcid.org/0000-0002-0839-242X"},"institutions":[{"id":"https://openalex.org/I185443292","display_name":"Wayne State University","ror":"https://ror.org/01070mq45","country_code":"US","type":"education","lineage":["https://openalex.org/I185443292"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"G. Yin","raw_affiliation_strings":["The Department of Mathematics, Wayne State University, Detroit, MI, USA","Department of Mathematics, Wayne State University, Detroit, Michigan, 48202, U.S.A"],"affiliations":[{"raw_affiliation_string":"The Department of Mathematics, Wayne State University, Detroit, MI, USA","institution_ids":["https://openalex.org/I185443292"]},{"raw_affiliation_string":"Department of Mathematics, Wayne State University, Detroit, Michigan, 48202, U.S.A","institution_ids":["https://openalex.org/I185443292"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5031200335"],"corresponding_institution_ids":["https://openalex.org/I1174212"],"apc_list":null,"apc_paid":null,"fwci":1.2741,"has_fulltext":false,"cited_by_count":5,"citation_normalized_percentile":{"value":0.83657773,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":null,"issue":null,"first_page":"3108","last_page":"3113"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.991100013256073,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.973800003528595,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.7816034555435181},{"id":"https://openalex.org/keywords/rate-of-convergence","display_name":"Rate of convergence","score":0.636269211769104},{"id":"https://openalex.org/keywords/convergence","display_name":"Convergence (economics)","score":0.6267443895339966},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.6263987421989441},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5046123266220093},{"id":"https://openalex.org/keywords/boundary","display_name":"Boundary (topology)","score":0.4950999319553375},{"id":"https://openalex.org/keywords/markov-process","display_name":"Markov process","score":0.4927106201648712},{"id":"https://openalex.org/keywords/compact-convergence","display_name":"Compact convergence","score":0.49074968695640564},{"id":"https://openalex.org/keywords/convergence-tests","display_name":"Convergence tests","score":0.44991159439086914},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.4324271082878113},{"id":"https://openalex.org/keywords/uniqueness","display_name":"Uniqueness","score":0.4168488085269928},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.24512261152267456},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.19402828812599182}],"concepts":[{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.7816034555435181},{"id":"https://openalex.org/C57869625","wikidata":"https://www.wikidata.org/wiki/Q1783502","display_name":"Rate of convergence","level":3,"score":0.636269211769104},{"id":"https://openalex.org/C2777303404","wikidata":"https://www.wikidata.org/wiki/Q759757","display_name":"Convergence (economics)","level":2,"score":0.6267443895339966},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6263987421989441},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5046123266220093},{"id":"https://openalex.org/C62354387","wikidata":"https://www.wikidata.org/wiki/Q875399","display_name":"Boundary (topology)","level":2,"score":0.4950999319553375},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.4927106201648712},{"id":"https://openalex.org/C5871375","wikidata":"https://www.wikidata.org/wiki/Q1780715","display_name":"Compact convergence","level":4,"score":0.49074968695640564},{"id":"https://openalex.org/C538505008","wikidata":"https://www.wikidata.org/wiki/Q3979448","display_name":"Convergence tests","level":4,"score":0.44991159439086914},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4324271082878113},{"id":"https://openalex.org/C2777021972","wikidata":"https://www.wikidata.org/wiki/Q22976830","display_name":"Uniqueness","level":2,"score":0.4168488085269928},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.24512261152267456},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.19402828812599182},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C31258907","wikidata":"https://www.wikidata.org/wiki/Q1301371","display_name":"Computer network","level":1,"score":0.0},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.0},{"id":"https://openalex.org/C50522688","wikidata":"https://www.wikidata.org/wiki/Q189833","display_name":"Economic growth","level":1,"score":0.0},{"id":"https://openalex.org/C127162648","wikidata":"https://www.wikidata.org/wiki/Q16858953","display_name":"Channel (broadcasting)","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/cdc.2007.4434198","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cdc.2007.4434198","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2007 46th IEEE Conference on Decision and Control","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":17,"referenced_works":["https://openalex.org/W1509727679","https://openalex.org/W1513091520","https://openalex.org/W1556521369","https://openalex.org/W1577527822","https://openalex.org/W1964377184","https://openalex.org/W1973240854","https://openalex.org/W2052165002","https://openalex.org/W2070056413","https://openalex.org/W2084762940","https://openalex.org/W2098745223","https://openalex.org/W2118816771","https://openalex.org/W2149472450","https://openalex.org/W2151137720","https://openalex.org/W2524112160","https://openalex.org/W4292366002","https://openalex.org/W4302609762","https://openalex.org/W6633151928"],"related_works":["https://openalex.org/W2180233726","https://openalex.org/W2058880726","https://openalex.org/W4301012366","https://openalex.org/W52475494","https://openalex.org/W2951349428","https://openalex.org/W2551580799","https://openalex.org/W4389263059","https://openalex.org/W2484170550","https://openalex.org/W3150825038","https://openalex.org/W2053771914"],"abstract_inverted_index":{"This":[0],"work":[1],"is":[2,49,96],"concerned":[3],"with":[4,14,67],"convergence":[5,26,34,76],"rates":[6,27,35,105],"of":[7,36,62,77,106],"numerical":[8],"methods":[9],"for":[10,40,110],"stochastic":[11],"control":[12],"problems":[13,114],"a":[15,88],"stopping":[16],"time.":[17],"We":[18],"use":[19],"Markov":[20,81,107],"chain":[21,82,108],"approximation":[22,83,109],"techniques.":[23],"Although":[24],"the":[25,33,45,55,60,63,70,75,78],"may":[28],"be":[29,87],"studied":[30],"by":[31,80,98],"considering":[32],"finite":[37],"difference":[38],"schemes":[39],"Hamilton-Jacobi-Bellman":[41],"(HJB)":[42],"equations,":[43],"in":[44],"current":[46],"problem,":[47],"there":[48,85],"an":[50],"additional":[51],"difficulty":[52],"due":[53],"to":[54,69],"boundary":[56,99],"condition,":[57],"which":[58],"requires":[59],"continuity":[61],"first":[64],"exit":[65],"time":[66],"respect":[68],"discrete":[71],"parameter.":[72],"To":[73],"prove":[74],"algorithm":[79],"method,":[84],"might":[86],"problem":[89],"known":[90],"as":[91],"tangency":[92],"problem.":[93],"Convergence":[94,104],"rate":[95],"achieved":[97],"perturbation":[100],"under":[101],"certain":[102,111],"assumption.":[103],"controlled":[112],"diffusion":[113],"are":[115],"verified.":[116]},"counts_by_year":[{"year":2021,"cited_by_count":1},{"year":2016,"cited_by_count":1}],"updated_date":"2026-03-25T13:04:00.132906","created_date":"2025-10-10T00:00:00"}
