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Journal articles
Error estimates for a stochastic impulse control problem
Abstract : We obtain error bounds for monotone approximation schemes of a stochastic impulse control problem. This is an extension of the theory for error estimates for the Hamilton-Jacobi-Bellman equation. We obtain almost the same estimate on the rate of convergence as in the equation without impulsions [2], [3]. © 2007 Springer.
https://hal-ensta-paris.archives-ouvertes.fr//hal-00849555
Contributor : Aurélien Arnoux <>
Submitted on : Monday, August 5, 2013 - 10:48:40 AM
Last modification on : Saturday, March 28, 2020 - 2:16:36 AM
Contributor : Aurélien Arnoux <>
Submitted on : Monday, August 5, 2013 - 10:48:40 AM
Last modification on : Saturday, March 28, 2020 - 2:16:36 AM
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