Error estimates for stochastic differential games: The adverse stopping case

IMA Journal of Numerical Analysis

Volumn 26, Issue 1 SPEC. ISS., 2006, Pages 188-212

  Bonnans, J Frédéric ^a   Maroso, Stefania ^a   Zidani, Housnaa ^a  

^a INRIA ROCQUENCOURT   (France)

Author keywords

Error estimates; Finite differences; Hamilton Jacobi Bellman equation; Isaacs equation; Stochastic differential games

Indexed keywords

CONTROL THEORY; DYNAMIC PROGRAMMING; ERROR ANALYSIS; GAME THEORY;

ERROR ESTIMATES; FINITE DIFFERENCES; HAMILTON JACOBI BELLMAN EQUATION; ISAACS EQUATION; STOCHASTIC DIFFERENTIAL GAME;

STOCHASTIC SYSTEMS;

EID: 30344455936     PISSN: 02724979     EISSN: 14643642     Source Type: Journal    
DOI: 10.1093/imanum/dri034     Document Type: Article

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