Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities

DOI10.1137/18M1171965zbMATH Open1405.49021arXiv1705.02922OpenAlexW2788545836WikidataQ128911339 ScholiaQ128911339MaRDI QIDQ4554791FDOQ4554791

Authors: P. Azimzadeh, Erhan Bayraktar, G. Labahn 

Publication date: 9 November 2018

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Abstract: In [Azimzadeh, P., and P. A. Forsyth. "Weakly chained matrices, policy iteration, and impulse control." SIAM J. Num. Anal. 54.3 (2016): 1341-1364], we outlined the theory and implementation of computational methods for implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities (HJBQVIs). No convergence proofs were given therein. This work closes the gap by giving rigorous proofs of convergence. We do so by introducing the notion of nonlocal consistency and appealing to a Barles-Souganidis type analysis. Our results rely only on a well-known comparison principle and are independent of the specific form of the intervention operator.

Full work available at URL: https://arxiv.org/abs/1705.02922

Recommendations

• Error estimates of penalty schemes for quasi-variational inequalities arising from impulse control problems
• The finite element approximation of Hamilton-Jacobi-Bellman equations
• Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization
• The finite element approximation of evolutionary Hamilton-Jacobi-Bellman equations with nonlinear source terms
• On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations

zbMATH Keywords

viscosity solutionimpulse controlHamilton-Jacobi-Bellman quasi-variational inequality (HJBQVI)implicit numerical schemes

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Impulsive optimal control problems (49N25) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

Cites Work

• Semi-Lagrangian schemes for linear and fully non-linear diffusion equations
• Title not available (Why is that?)
• Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach
• On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
• A probabilistic numerical method for fully nonlinear parabolic PDEs
• Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
• A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
• Title not available (Why is that?)
• Applied stochastic control of jump diffusions.
• Convergent Difference Schemes for Degenerate Elliptic and Parabolic Equations: Hamilton--Jacobi Equations and Free Boundary Problems
• Optimal control of trading algorithms: a general impulse control approach
• Optimal impulse control of a portfolio with a fixed transaction cost
• Deterministic Impulse Control Problems
• Optimal consumption and investment with fixed and proportional transaction costs
• Title not available (Why is that?)
• Impulse control of multidimensional jump diffusions
• A comparison of iterated optimal stopping and local policy iteration for American options under regime switching
• Valuing the guaranteed minimum death benefit clause with partial withdrawals
• Stochastic differential games involving impulse controls and double-obstacle quasi-variational inequalities
• Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
• Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions
• A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions
• Impulse control of multidimensional jump diffusions in finite time horizon
• A general verification result for stochastic impulse control problems
• Viscosity solutions of nonlinear second order elliptic PDEs involving nonlocal operators
• Stochastic impulse control with regime-switching dynamics
• On the impulse control of jump diffusions
• Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes
• Weakly chained matrices, policy iteration, and impulse control

Cited In (18)

• A semi-Lagrangian \(\epsilon\)-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
• Undiscounted bandit games
• Regression Monte Carlo for impulse control
• A penalty scheme for monotone systems with interconnected obstacles: convergence and error estimates
• Weakly chained matrices, policy iteration, and impulse control
• Cost-efficient monitoring of continuous-time stochastic processes based on discrete observations
• Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
• A fixed-point policy-iteration-type algorithm for symmetric nonzero-sum stochastic impulse control games
• Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations
• Stochastic optimal switching model for migrating population dynamics
• Mathematical and numerical analyses of a stochastic impulse control model with imperfect interventions
• Error estimates of penalty schemes for quasi-variational inequalities arising from impulse control problems
• Limit equations of adaptive Erlangization and their application to environmental management
• The existence and uniqueness of viscosity solution to a kind of Hamilton-Jacobi-Bellman equation
• Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization
• Biological population management based on a Hamilton–Jacobi–Bellman equation with boundary blow up
• An implicit method for the finite time horizon Hamilton-Jacobi-Bellman quasi-variational inequalities
• Penalized schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities arising in regime switching utility maximization with optimal stopping

This page was built for publication: Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4554791)