Error estimates for stochastic differential games: the adverse stopping case

DOI10.1093/IMANUM/DRI034MaRDI QIDQ3378211zbMATH OpenOpenAlexFDO

Authors Stefania Maroso, J. Frédéric Bonnans, Housnaa Zidani

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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Cited in

(8)

• Error estimates for second order Hamilton-Jacobi-Bellman equations. Approximation of probabilistic reachable sets
• On the rate of convergence for monotone numerical schemes for nonlocal Isaacs equations
• Finite element methods for isotropic Isaacs equations with viscosity and strong Dirichlet boundary conditions
• Dynamic programming and error estimates for stochastic control problems with maximum cost
• Error estimates for approximations of nonhomogeneous nonlinear uniformly elliptic equations
• Errata corrige to: Stochastic differential games: Occupation measure based approach
• A stochastic approximation for fully nonlinear free boundary parabolic problems
• Error estimates for approximations of nonlinear uniformly parabolic equations

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