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

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

6 Citations (Scopus)

Résumé

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].

langue originale	Anglais
Pages (de - à)	327-357
Nombre de pages	31
journal	Applied Mathematics & Optimization
Volume	55
Numéro de publication	3
Les DOIs	https://doi.org/10.1007/s00245-006-0865-2
état	Publié - 1 mai 2007

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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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Error estimates for a stochastic impulse control problem

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