Some non monotone schemes for Hamilton-Jacobi-Bellman equations (Q4967890): Difference between revisions

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scientific article; zbMATH DE number 7079348

Language	Label	Description	Also known as
English	Some non monotone schemes for Hamilton-Jacobi-Bellman equations	scientific article; zbMATH DE number 7079348

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scholarly article

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Some non monotone schemes for Hamilton-Jacobi-Bellman equations (English)

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ESAIM: Proceedings and Surveys

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publication date

11 July 2019

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full work available at URL

https://arxiv.org/abs/1312.5052

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MaRDI profile type

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Construction of Simple, Stable, and Convergent High Order Schemes for Steady First Order Hamilton–Jacobi Equations

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High order numerical discretization for Hamilton-Jacobi equations on triangular meshes.

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Error Bounds for Monotone Approximation Schemes for Hamilton--Jacobi--Bellman Equations

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On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations

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Value iteration convergence of \(\varepsilon\)-monotone schemes for stationary Hamilton-Jacobi equations

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An Efficient Filtered Scheme for Some First Order Time-Dependent Hamilton--Jacobi Equations

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Convergence of a non-monotone scheme for Hamilton-Jacobi-Bellman equations with discontinuous initial data

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High-order filtered schemes for time-dependent second order HJB equations

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A fast algorithm for the two dimensional HJB equation of stochastic control

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An approximation scheme for the optimal control of diffusion processes

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Semi-Lagrangian schemes for linear and fully non-linear diffusion equations

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Optimal Stochastic Switching and the Dirichlet Problem for the Bellman Equation

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Semi-Lagrangian Approximation Schemes for Linear and Hamilton—Jacobi Equations

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Convergent Filtered Schemes for the Monge--Ampère Partial Differential Equation

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On the Convergence of Finite Element Methods for Hamilton--Jacobi--Bellman Equations

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Weighted ENO Schemes for Hamilton--Jacobi Equations

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The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients

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On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients

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Spectral Viscosity Approximations to Hamilton--Jacobi Solutions

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Convergence of MUSCL and filtered schemes for scalar conservation laws and Hamilton-Jacobi equations

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Some Estimates for Finite Difference Approximations

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Convergent Difference Schemes for Degenerate Elliptic and Parabolic Equations: Hamilton--Jacobi Equations and Free Boundary Problems

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Filtered schemes for Hamilton-Jacobi equations: a simple construction of convergent accurate difference schemes

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High-Order Essentially Nonoscillatory Schemes for Hamilton–Jacobi Equations

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Numerical convergence properties of option pricing PDEs with uncertain volatility

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Discontinuous Galerkin finite element methods for time-dependent Hamilton-Jacobi-Bellman equations with Cordes coefficients

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Some non-monotone schemes for time dependent Hamilton-Jacobi-Bellman equations in stochastic control

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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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10.1051/PROC/201965476

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Sitelinks

Mathematics(1 entry)

mardi Publication:4967890

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