# 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:

- 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}

}

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