Error estimates of penalty schemes for quasi-variational inequalities arising from impulse control problems

This paper proposes penalty schemes for a class of weakly coupled systems of Hamilton--Jacobi--Bellman quasi-variational inequalities (HJBQVIs) arising from stochastic hybrid control problems of regime-switching models with both continuous and impulse controls. We show that the solutions of the pena...

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Bibliographic Details
Main Authors: Reisinger, C, Zhang, Y
Format: Journal article
Language:English
Published: Society for Industrial and Applied Mathematics 2020