Error Estimates of Penalty Schemes for Quasi-Variational Inequalities Arising from Impulse Control Problems
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Publication:5210849
DOI10.1137/19M124040XzbMath1429.49032arXiv1901.07841OpenAlexW3001199727WikidataQ126313126 ScholiaQ126313126MaRDI QIDQ5210849
Yu-Fei Zhang, Christoph Reisinger
Publication date: 22 January 2020
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1901.07841
regime switchingerror estimatepenalty methodmonotone systemhybrid controlHJB quasi-variational inequality
Variational inequalities (49J40) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Numerical methods for variational inequalities and related problems (65K15)
Related Items (4)
Systems of fully nonlinear parabolic obstacle problems with Neumann boundary conditions ⋮ A fixed-point policy-iteration-type algorithm for symmetric nonzero-sum stochastic impulse control games ⋮ A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities ⋮ A neural network-based policy iteration algorithm with global \(H^2\)-superlinear convergence for stochastic games on domains
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