Error estimates for stochastic differential games: the adverse stopping case - Archive ouverte HAL Access content directly
Reports (Research Report) Year : 2004

## Error estimates for stochastic differential games: the adverse stopping case

(1) , (1) , (1)
1
J. Frederic Bonnans
• Function : Author
• PersonId : 833418
• IdHAL : bonnans
Stefania Maroso
• Function : Author
Hasnaa Zidani

#### 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.

### Dates and versions

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

### Identifiers

• 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⟩

### Export

BibTeX TEI Dublin Core DC Terms EndNote Datacite

99 View