Error estimates for a stochastic impulse control problem
DOI10.1007/S00245-006-0865-2zbMATH Open1127.93057OpenAlexW2139093762MaRDI QIDQ996068FDOQ996068
Authors: Stefania Maroso, Housnaa Zidani, J. Frédéric Bonnans 
Publication date: 11 September 2007
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://hal.inria.fr/inria-00179549/file/RR-zidani.pdf
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Dynamic programming in optimal control and differential games (49L20) Stochastic systems in control theory (general) (93E03) Estimation and detection in stochastic control theory (93E10)
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- Error estimates for second order Hamilton-Jacobi-Bellman equations. Approximation of probabilistic reachable sets
- Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes
- A penalty scheme for monotone systems with interconnected obstacles: convergence and error estimates
- Error estimates for numerical approximation of Hamilton-Jacobi equations related to hybrid control systems
- Error estimates of penalty schemes for quasi-variational inequalities arising from impulse control problems
- Dynamic programming and error estimates for stochastic control problems with maximum cost
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