Regression methods for stochastic control problems and their convergence analysis. Belomestny, D., Kolodko, A., & Schoenmakers, J. SIAM J. Control Optim., 48(5):3562–3588, 2009/10.
Regression methods for stochastic control problems and their convergence analysis [link]Paper  doi  bibtex   1 download  
@article {MR2599931,
    AUTHOR = {Belomestny, Denis and Kolodko, Anastasia and Schoenmakers,
              John},
     TITLE = {Regression methods for stochastic control problems and their
              convergence analysis},
   JOURNAL = {SIAM J. Control Optim.},
  FJOURNAL = {SIAM Journal on Control and Optimization},
    VOLUME = {48},
      YEAR = {2009/10},
    NUMBER = {5},
     PAGES = {3562--3588},
      ISSN = {0363-0129},
   MRCLASS = {60G40 (49K45 49M30 65C05 90C40 93E20)},
  MRNUMBER = {2599931},
MRREVIEWER = {Aleksey B. Piunovski\u{\i}},
       DOI = {10.1137/090752651},
       URL = {https://doi.org/10.1137/090752651},
}

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