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

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

D. Massart

Publication date: 15 September 2003

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

zbMATH Keywords

Hamilton-Jacobi-Bellman equation; optimal feedback control; finite volume method; viscosity solution; upwind finite difference

Mathematics Subject Classification ID

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

49M25: Discrete approximations in optimal control