Error estimates for a stochastic impulse control problem

DOI10.1007/s00245-006-0865-2zbMath1127.93057OpenAlexW2139093762MaRDI QIDQ996068

Stefania Maroso, Housnaa Zidani, Joseph 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

zbMATH Keywords

monotone approximation schemesstochastic impulse controlHamilton-Jacobi-Bellmann equation

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Estimation and detection in stochastic control theory (93E10) Stochastic systems in control theory (general) (93E03)

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