On finite element approximation of system of parabolic quasi-variational inequalities related to stochastic control problems

On finite element approximation of system of parabolic quasi-variational inequalities related to stochastic control problems

In this paper, an optimal error estimate for system of parabolic quasi-variational inequalities related to stochastic control problems is studied. Existence and uniqueness of the solution is provided by the introduction of a constructive algorithm. An optimally $ L^{\infty } $-asymptotic behavior in...

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Bibliographic Details
Main Authors: Mohamed Amine Bencheikh Le Hocine, Salah Boulaaras, Mohamed Haiour
Format: Article
Language:English
Published: Taylor & Francis Group 2016-12-01
Series:Cogent Mathematics
Subjects:
parabolic quasi-variational inequalities
Hamilton–Jacobi–Bellman equation
finite element methods
subsolutions method
$ L^{\infty } $-asymptotic behavior
asymptotic behavior
orthogonal polynomials and special functions
Online Access:http://dx.doi.org/10.1080/23311835.2016.1251386

Internet

http://dx.doi.org/10.1080/23311835.2016.1251386

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