Error estimates for stochastic differential games: the adverse stopping case
Bonnans, J. Frederic ; Maroso, Stefania ; Zidani, Hasnaa
HAL, Report N°: RR-5441 / Harvested from HAL
Text on HAL
We obtain error bounds for monotone approximation schemes of a particular Isaacs equation. This is an extension of the theory for estimating errors for the Hamilton-Jacobi-Bellman equation. For obtaining upper error bound, we consider the ``Krylov regularization'' of the Isaacs equation to build an approximate sub-solution of the scheme. To get lower error bound we extend the method of Barles and Jakobsen which consists in introducing a switching system whose solutions are local super-solutions of the Isaacs equation.
Publié le : 2004-07-05
Classification:  STOCHASTIC DIFFERENTIAL GAMES,  FINITE DIFFERENCES,  ERROR ESTIMATES,  ISAACS EQUATION,  HAMILTON-JACOBI-BELLMAN EQUATION,  [INFO.INFO-OH]Computer Science [cs]/Other [cs.OH],  [MATH.MATH-OC]Mathematics [math]/Optimization and Control [math.OC] 
@article{Report N°: RR-5441,
     author = {Bonnans, J. Frederic and Maroso, Stefania and Zidani, Hasnaa},
     title = {Error estimates for stochastic differential games: the adverse stopping case},
     journal = {HAL},
     volume = {2004},
     number = {0},
     year = {2004},
     language = {en},
     url = {http://dml.mathdoc.fr/item/Report N°: RR-5441}
}

Bonnans, J. Frederic; Maroso, Stefania; Zidani, Hasnaa. Error estimates for stochastic differential games: the adverse stopping case. HAL, Tome 2004 (2004) no. 0, . http://gdmltest.u-ga.fr/item/Report%20N%C2%B0:%20RR-5441/