A semi-Lagrangian scheme for Hamilton-Jacobi-Bellman equations with oblique derivatives boundary conditions (Q2678963): Difference between revisions

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English	A semi-Lagrangian scheme for Hamilton-Jacobi-Bellman equations with oblique derivatives boundary conditions	scientific article

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scholarly article

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A semi-Lagrangian scheme for Hamilton-Jacobi-Bellman equations with oblique derivatives boundary conditions (English)

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Elisabetta Carlini

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Francisco J. Silva

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Numerische Mathematik

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publication date

18 January 2023

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full work available at URL

https://arxiv.org/abs/2109.10228

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MaRDI profile type

MaRDI publication profile

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Numerical Discretization of Boundary Conditions for First Order Hamilton--Jacobi Equations

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An approximation scheme for the optimal control of diffusion processes

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Convergence of a large time-step scheme for mean curvature motion

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Finite element methods (Part 1)

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User’s guide to viscosity solutions of second order partial differential equations

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Convergence of a Finite Element Approximation to a State-Constrained Elliptic Control Problem

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SDEs with oblique reflection on nonsmooth domains

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Convex duality and the Skorokhod problem. I

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Recent Developments in Numerical Methods for Fully Nonlinear Second Order Partial Differential Equations

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Controlled Markov processes and viscosity solutions

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Elliptic partial differential equations of second order

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Efficient schemes for the weak approximation of reflected diffusions

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Dynamic optimization. Deterministic and stochastic models

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Nonlinear oblique derivative problems for singular degenerate parabolic equations on a general domain

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7. On The Notion Of Boundary Conditions In Comparison Principles For Viscosity Solutions

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Optimal Policies for<i>n</i>-Dimensional Singular Stochastic Control Problems Part I: The Skorokhod Problem

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Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application

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Neumann type boundary conditions for Hamilton-Jacobi equations

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Stochastic differential equations with reflecting boundary conditions

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Numerical solution of the Dirichlet problem for nonlinear parabolic equations by a probabilistic approach

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A probabilistic approach to the solution of the Neumann problem for nonlinear parabolic equations

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Numerical analysis of strongly nonlinear PDEs

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NUMERICAL APPROXIMATION OF VISCOSITY SOLUTIONS OF FIRST-ORDER HAMILTON-JACOBI EQUATIONS WITH NEUMANN TYPE BOUNDARY CONDITIONS

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Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1007/S00211-022-01336-6

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Sitelinks

Mathematics(1 entry)

mardi Publication:2678963

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