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Article Dans Une Revue Applied Mathematics and Optimization Année : 2007

Error estimates for a stochastic impulse control problem

Résumé

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]. © 2007 Springer.

Dates et versions

hal-00849555 , version 1 (05-08-2013)

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Citer

Frédéric Bonnans, Stefania Maroso, Hasnaa Zidani. Error estimates for a stochastic impulse control problem. Applied Mathematics and Optimization, 2007, 55 (3), pp.327-357. ⟨10.1007/s00245-006-0865-2⟩. ⟨hal-00849555⟩
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