1College of Science, Department of Mathematics and Statistics, Sultan Qaboos University, P.O., Box 36, Muscat 123, Sultanate of Oman
*Author for Correspondence. E-mail: boulbrac@squ.edu.otn
Stochastic control problems with ergodic type payoff may be solved by considering the solution of variational inequalities (VIs) with Neumann boundary conditions, where the “discount factor” (i.e. the zero order term) is set to zero. In this paper, we are concerned with the finite element approximation of such VIs. By means of an algorithmic approach, we establish L∞-error estimate and provide a basic computational scheme for the discrete solution.
Primary 65M15, Secondary 65N30, Variational inequality, Ergodic control, Finite element, Monotone iterative scheme, L∞-error estimate
