Error estimates for a stochastic impulse control problem

Frederic Bonnans; Stefania Maroso; Housnaa Zidani

doi:10.1007/s00245-006-0865-2

Error estimates for a stochastic impulse control problem

Frederic Bonnans
, Stefania Maroso
, Housnaa Zidani

École Polytechnique

Ecole polytechnique
UPMC Université de Paris VI

Research output: Contribution to journal › Article › peer-review

6 Citations (Scopus)

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].

Original language	English
Pages (from-to)	327-357
Number of pages	31
Journal	Applied Mathematics & Optimization
Volume	55
Issue number	3
DOIs	https://doi.org/10.1007/s00245-006-0865-2
Publication status	Published - 1 May 2007

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title = "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].",

author = "Frederic Bonnans and Stefania Maroso and Housnaa Zidani",

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AU - Maroso, Stefania

AU - Zidani, Housnaa

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N2 - 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].

AB - 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].

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M3 - Article

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JO - Applied Mathematics & Optimization

JF - Applied Mathematics & Optimization

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Error estimates for a stochastic impulse control problem

Abstract

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