A Policy Iteration Scheme for Semilinear Stochastic Hamilton-Jacobi-Bellman Equations with Exponential Convergence
Hasib Uddin Molla, Jinniao Qiu
Abstract
This paper is concerned with the non-Markovian stochastic optimal control problems in which the value function is a random field characterized by a stochastic Hamilton-Jacobi-Bellman (SHJB) equation. When the stochastic integration coefficients are not controlled, the SHJB equation takes a semilinear form, which is subject to computational challenges compared to the Markovian case due to the measurable randomness. We introduce a policy-iteration algorithm based on successive linearization that reduces the nonlinear SHJB equation to a sequence of linear ones. Furthermore, we prove that the resulting approximation sequence converges monotonically to the value function in the mean-square sense with an exponential rate.
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