Error estimates for stochastic differential games: the adverse stopping case

DOI10.1093/IMANUM/DRI034zbMath1130.91014OpenAlexW2089188105MaRDI QIDQ3378211

Stefania Maroso, Housnaa Zidani, Joseph Frédéric Bonnans

Publication date: 30 March 2006

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://hal.inria.fr/inria-00070566/file/RR-5441.pdf

zbMATH Keywords

Krylov regularization

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15)

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Finite element methods for isotropic Isaacs equations with viscosity and strong Dirichlet boundary conditions ⋮ Error estimates for approximations of nonhomogeneous nonlinear uniformly elliptic equations ⋮ On the Rate of Convergence for Monotone Numerical Schemes for Nonlocal Isaacs Equations ⋮ A stochastic approximation for fully nonlinear free boundary parabolic problems ⋮ Dynamic programming and error estimates for stochastic control problems with maximum cost ⋮ Error estimates for approximations of nonlinear uniformly parabolic equations ⋮ Error estimates for second order Hamilton-Jacobi-Bellman equations. Approximation of probabilistic reachable sets

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