Error Estimates for a Stochastic Impulse Control Problem

Journal Article · Tue May 15 00:00:00 EDT 2007 · Applied Mathematics and Optimization

DOI:https://doi.org/10.1007/S00245-006-0865-2· OSTI ID:21067407

Bonnans, Frederic; Maroso, Stefania; Zidani, Housnaa ^[1]

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1. CMAP, Ecole Polytechnique, INRIA-Futurs (France)

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.

• OSTI ID: 21067407
• Journal Information: Applied Mathematics and Optimization, Journal Name: Applied Mathematics and Optimization Journal Issue: 3 Vol. 55; ISSN 0095-4616
• Country of Publication: United States
• Language: English

Related Subjects

71 CLASSICAL AND QUANTUM MECHANICS
GENERAL PHYSICS
APPROXIMATIONS
CONTROL THEORY
CONVERGENCE
ERRORS
HAMILTON-JACOBI EQUATIONS
STOCHASTIC PROCESSES