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1 SYDOCO - Dynamic systems, optimisation and optimal command Inria Paris-Rocquencourt

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.

Keywords : STOCHASTIC DIFFERENTIAL GAMES FINITE DIFFERENCES ERROR ESTIMATES ISAACS EQUATION HAMILTON-JACOBI-BELLMAN EQUATION





Author: J. Frederic Bonnans - Stefania Maroso - Hasnaa Zidani -

Source: https://hal.archives-ouvertes.fr/



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