 |
 |
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 Connect in order to contact the contributor
Submitted on : Monday, August 5, 2013 - 10:48:40 AM
Last modification on : Wednesday, May 11, 2022 - 12:06:05 PM
Contributor : Aurélien Arnoux Connect in order to contact the contributor
Submitted on : Monday, August 5, 2013 - 10:48:40 AM
Last modification on : Wednesday, May 11, 2022 - 12:06:05 PM
Links full text
