Error estimates for a stochastic impulse control problem

Frédéric Bonnans; Stefania Maroso; Hasnaa Zidani

Error estimates for a stochastic impulse control problem

Frédéric Bonnans ¹ Stefania Maroso ^{1, 2} Hasnaa Zidani ^{1, 3}

1 CMAP - Centre de Mathématiques Appliquées

2 LJLL - Laboratoire Jacques-Louis Lions

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.

Document type :

Journal articles

Domain :

Computer Science [cs] / Other [cs.OH]

Mathematics [math] / Optimization and Control [math.OC]

Complete list of metadatas

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 : Wednesday, July 3, 2019 - 10:48:04 AM

Error estimates for a stochastic impulse control problem

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Error estimates for a stochastic impulse control problem

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