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Reports (Research Report) Year : 2004

Error estimates for stochastic differential games: the adverse stopping case

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Abstract

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.
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Dates and versions

inria-00070566 , version 1 (19-05-2006)

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  • HAL Id : inria-00070566 , version 1

Cite

J. Frederic Bonnans, Stefania Maroso, Hasnaa Zidani. Error estimates for stochastic differential games: the adverse stopping case. [Research Report] RR-5441, INRIA. 2004, pp.28. ⟨inria-00070566⟩
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