Central limit theorems are established for SAA value functions in finite-horizon stochastic optimal control via an abstract limit theorem for stochastic backward recursions, yielding recursive asymptotic variance formulas under unique optimal policies.
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Central Limit Theorems for Sample Average Approximations in Stochastic Optimal Control
Central limit theorems are established for SAA value functions in finite-horizon stochastic optimal control via an abstract limit theorem for stochastic backward recursions, yielding recursive asymptotic variance formulas under unique optimal policies.