Numerical solution of Hamilton-Jacobi-Bellman equations by an upwind finite volume method

DOI10.1023/A:1024980623095zbMath1047.49026OpenAlexW1508405709MaRDI QIDQ1407246

D. Massart

Publication date: 15 September 2003

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1024980623095

zbMATH Keywords

Hamilton-Jacobi-Bellman equationoptimal feedback controlfinite volume methodviscosity solutionupwind finite difference

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Discrete approximations in optimal control (49M25)

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