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
3 OC - Optimisation et commande
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.
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Submitted on : Monday, August 5, 2013 - 10:48:40 AM
Last modification on : Friday, January 10, 2020 - 3:42:10 PM

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Frédéric Bonnans, Stefania Maroso, Hasnaa Zidani. Error estimates for a stochastic impulse control problem. Applied Mathematics and Optimization, Springer Verlag (Germany), 2007, 55 (3), pp.327-357. ⟨10.1007/s00245-006-0865-2⟩. ⟨hal-00849555⟩

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