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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.

Authors:
; ;  [1]
  1. CMAP, Ecole Polytechnique, INRIA-Futurs (France), E-mail: Hasnaa.Zidani@ensta.fr
Publication Date:
OSTI Identifier:
21067407
Resource Type:
Journal Article
Resource Relation:
Journal Name: Applied Mathematics and Optimization; Journal Volume: 55; Journal Issue: 3; Other Information: DOI: 10.1007/s00245-006-0865-2; Copyright (c) 2007 Springer; www.springer-ny.com; Country of input: International Atomic Energy Agency (IAEA)
Country of Publication:
United States
Language:
English
Subject:
71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS; APPROXIMATIONS; CONTROL THEORY; CONVERGENCE; ERRORS; HAMILTON-JACOBI EQUATIONS; STOCHASTIC PROCESSES

Citation Formats

Bonnans, Frederic, E-mail: Frederic.Bonnas@inria.fr, Maroso, Stefania, E-mail: maroso@cmapx.polytechnique.fr, and Zidani, Housnaa. Error Estimates for a Stochastic Impulse Control Problem. United States: N. p., 2007. Web. doi:10.1007/S00245-006-0865-2.
Bonnans, Frederic, E-mail: Frederic.Bonnas@inria.fr, Maroso, Stefania, E-mail: maroso@cmapx.polytechnique.fr, & Zidani, Housnaa. Error Estimates for a Stochastic Impulse Control Problem. United States. doi:10.1007/S00245-006-0865-2.
Bonnans, Frederic, E-mail: Frederic.Bonnas@inria.fr, Maroso, Stefania, E-mail: maroso@cmapx.polytechnique.fr, and Zidani, Housnaa. Tue . "Error Estimates for a Stochastic Impulse Control Problem". United States. doi:10.1007/S00245-006-0865-2.
@article{osti_21067407,
title = {Error Estimates for a Stochastic Impulse Control Problem},
author = {Bonnans, Frederic, E-mail: Frederic.Bonnas@inria.fr and Maroso, Stefania, E-mail: maroso@cmapx.polytechnique.fr and Zidani, Housnaa},
abstractNote = {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.},
doi = {10.1007/S00245-006-0865-2},
journal = {Applied Mathematics and Optimization},
number = 3,
volume = 55,
place = {United States},
year = {Tue May 15 00:00:00 EDT 2007},
month = {Tue May 15 00:00:00 EDT 2007}
}