排序方式: 共有2条查询结果,搜索用时 0 毫秒
1
1.
Bonnans J. Frederic; Maroso Stefania; Zidani Housnaa 《IMA Journal of Numerical Analysis》2006,26(1):188-212
** Email: frederic.bonnans{at}inria.fr*** Email: stefania.maroso{at}inria.fr**** Email: zidani{at}ensta.fr We obtain error bounds for monotone approximation schemes ofa particular Isaacs equation. This is an extension of the theoryfor estimating errors for the HamiltonJacobiBellmanequation. To obtain the upper error bound, we consider the Krylovregularization of the Isaacs equation to build an approximatesub-solution of the scheme. To get the lower error bound, weextend the method of Barles & Jakobsen (2005, SIAM J. Numer.Anal.) which consists in introducing a switching system whosesolutions are local super-solutions of the Isaacs equation. 相似文献
2.
Frederic Bonnans Stefania Maroso Housnaa Zidani 《Applied Mathematics and Optimization》2007,55(3):327-357
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]. 相似文献
1