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Applied Mathematics and Optimization

, Volume 55, Issue 3, pp 327–357 | Cite as

Error Estimates for a Stochastic Impulse Control Problem

  • Frederic Bonnans
  • Stefania Maroso
  • Housnaa Zidani
Article

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 [2], [3].

Keywords

Viscosity Solution Finite Difference Scheme Lipschitz Constant Bellman Equation Switching System 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer 2007

Authors and Affiliations

  1. 1.CMAP, Ecole Polytechnique, INRIA-Futurs91128 PalaiseauFrance
  2. 2.Laboratoire Jacques Louis Lions, Universite Denis Diderot, 175 rue du ChevalaretParisFrance
  3. 3.Unite de Mathematiques Appliquees, ENSTA, 32 Bd Victor75739 Paris Cedex 15France

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