Approximating Value Functions for Controlled Degenerate Diffusion Processes by Using Piece-Wise Constant Policies
Nicolai V. Krylov · Electronic Journal of Probability · 1999
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 $[kh^{2},(k+1)h^{2})$.