Error Estimates for a Stochastic Impulse Control Problem |
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| Authors: | Frederic Bonnans Stefania Maroso Housnaa Zidani |
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| Institution: | (1) CMAP, Ecole Polytechnique, INRIA-Futurs, 91128 Palaiseau, France;(2) Laboratoire Jacques Louis Lions, Universite Denis Diderot, 175 rue du Chevalaret, Paris, France;(3) Unite de Mathematiques Appliquees, ENSTA, 32 Bd Victor, 75739 Paris Cedex 15, France |
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| Abstract: | We obtain error bounds for monotone approximation schemes of a stochastic impulse control problem. This is an extension of
the theory for error estimates for the Hamilton-Jacobi-Bellman equation. We obtain almost the same estimate on the rate of
convergence as in the equation without impulsions 2], 3]. |
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