Stability and convergence of second order backward differentiation schemes for parabolic Hamilton-Jacobi-Bellman equations

DOI10.1007/S00211-021-01202-XzbMATH Open1480.65204arXiv1802.07146OpenAlexW3165627091MaRDI QIDQ2038422FDOQ2038422

Olivier Bokanowski, Athena Picarelli, C. Reisinger

Publication date: 6 July 2021

Published in: Numerische Mathematik (Search for Journal in Brave)

Abstract: We study a second order BDF (Backward Differentiation Formula) scheme for the numerical approximation of parabolic HJB (Hamilton-Jacobi-Bellman) equations. The scheme under consideration is implicit, non-monotone, and second order accurate in time and space. The lack of monotonicity prevents the use of well-known convergence results for solutions in the viscosity sense. In this work, we establish rigorous stability results in a general nonlinear setting as well as convergence results for some particular cases with additional regularity assumptions. While most results are presented for one-dimensional, linear parabolic and non-linear HJB equations, some results are also extended to multiple dimensions and to Isaacs equations. Numerical tests are included to validate the method.

Full work available at URL: https://arxiv.org/abs/1802.07146

zbMATH Keywords

Hamilton-Jacobi-Bellman equationseikonal equationbackward differentiation formula (BDF) scheme

Mathematics Subject Classification ID

Smoothness and regularity of solutions to PDEs (35B65) Initial value problems for second-order parabolic systems (35K45) 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) Hamilton-Jacobi equations in optimal control and differential games (49L12)

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Cited In (1)

• Second order parabolic Hamilton-Jacobi-Bellman equations in Hilbert spaces and stochastic control: \(L^{2}_{\mu}\) approach

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