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

DOI10.1007/S10915-015-0057-9zbMath1372.49034arXiv1310.6121OpenAlexW1564449693MaRDI QIDQ2398476

Xavier Warin

Publication date: 16 August 2017

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.6121

zbMATH Keywords

stochastic controlnumerical methodsHamilton-Jacobi-Bellman equationssemi-Lagrangian

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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