Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems

Espen R. Jakobsen, Athena Picarelli, Christoph Reisinger

In N.V. Krylov, Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies, Electron. J. Probab., 4(2), 1999, it is proved un…