Consistency of Generalized Finite Difference Schemes for the Stochastic HJB Equation
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Publication:4443635
DOI10.1137/S0036142901387336zbMath1130.49307OpenAlexW1980822517MaRDI QIDQ4443635
Joseph Frédéric Bonnans, Housnaa Zidani
Publication date: 18 January 2004
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0036142901387336
Optimal stochastic control (93E20) Finite difference methods for boundary value problems involving PDEs (65N06) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Discrete approximations in optimal control (49M25)
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