Error Estimates of Penalty Schemes for Quasi-Variational Inequalities Arising from Impulse Control Problems
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
https://epubs.siam.org/doi/pdf/10.1137/19M124040X
Reference36 articles.
1. Convergence of Implicit Schemes for Hamilton--Jacobi--Bellman Quasi-Variational Inequalities
2. A Zero-Sum Stochastic Differential Game with Impulses, Precommitment, and Unrestricted Cost Functions
3. Weakly Chained Matrices, Policy Iteration, and Impulse Control
4. Optimal Dividend Policies with Transaction Costs for a Class of Diffusion Processes
5. On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
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