Probabilistic error analysis for some approximation schemes to optimal control problems

We introduce a class of numerical schemes for optimal stochastic control problems based on a novel Markov chain approximation, which uses, in turn, a piecewise constant policy approximation, Euler– Maruyama time stepping, and a Gauß-Hermite approximation of the Gaußian increments. We provide lower error bounds of order arbitrarily close to 1/2 in time and 1/3 in space for Lipschitz viscosity solutions, coupling probabilistic arguments with regularization techniques as introduced by Krylov. The corresponding order of the upper bounds is 1/4 in time and 1/5 in space. For sufficiently regular solutions, the order is 1 in both time and space for both bounds. Finally, we propose techniques for further improving the accuracy of the individual components of the approximation.