Error Estimates for a Stochastic Impulse Control Problem
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 , .
KeywordsViscosity Solution Finite Difference Scheme Lipschitz Constant Bellman Equation Switching System
Unable to display preview. Download preview PDF.