Error estimates for stochastic differential games: the adverse stopping case

DOI10.1093/IMANUM/DRI034zbMATH Open1130.91014OpenAlexW2089188105MaRDI QIDQ3378211FDOQ3378211

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

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zbMATH Keywords

Krylov regularization

Mathematics Subject Classification ID

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

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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