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...
| Main Authors: | , |
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| 格式: | Journal article |
| 语言: | English |
| 出版: |
Society for Industrial and Applied Mathematics
2020
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