화학공학소재연구정보센터
Applied Mathematics and Optimization, Vol.55, No.3, 327-357, 2007
Error estimates for a stochastic impulse control problem
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].