Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities

Parsiad Azimzadeh, Erhan Bayraktar, George Labahn

In [Azimzadeh, P., and P. A. Forsyth. "Weakly chained matrices, policy iteration, and impulse control." SIAM J. Num. Anal. 54.3 (2016): 1341-1364], we outlined the theory and imple…