Convergence of a non-monotone scheme for Hamilton-Jacobi-Bellman equations with discontinuous initial data

DOI10.1007/S00211-009-0271-1MaRDI QIDQ2270141zbMATHOpenAlexFDO

Authors Olivier Bokanowski, Nadia Megdich, Hasnaa Zidani

Publication date 15 March 2010

Published in Numerische Mathematik (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00211-009-0271-1

zbMATH Keywords

numerical examplesHamilton-Jacobi-Bellman equationeikonal equationdiscontinuous datanon-monotone scheme

Mathematics Subject Classification ID

Hamilton-Jacobi equations (35F21) PDEs with low regular coefficients and/or low regular data (35R05) 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) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)

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• Lax theorem and finite volume schemes
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• Two approximations of solutions of Hamilton-Jacobi equations
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• \(L^1\)-error estimates for numerical approximations of Hamilton-Jacobi-Bellman equations in dimension 1

Cited in

(14)

• Anti-dissipative schemes for advection and application to Hamilton-Jacobi-bellmann equations
• An efficient data structure and accurate scheme to solve front propagation problems
• Some non monotone schemes for Hamilton-Jacobi-Bellman equations
• Dynamic programming viscosity solution approach and its applications to optimal control problems
• Optimal feedback control for undamped wave equations by solving a HJB equation
• Convergence of the solutions of the discounted Hamilton-Jacobi equation: a counterexample
• Time periodic optimal policy for operation of a water storage tank using the dynamic programming approach
• Regime-switching constrained viscosity solutions approach for controlling dam-reservoir systems
• Convergence of a first order scheme for a nonlocal eikonal equation
• Value iteration convergence of \(\varepsilon\)-monotone schemes for stationary Hamilton-Jacobi equations
• Discontinuous solutions of Hamilton-Jacobi-Bellman equation under state constraints
• An efficient filtered scheme for some first order time-dependent Hamilton-Jacobi equations
• \(L^1\)-error estimates for numerical approximations of Hamilton-Jacobi-Bellman equations in dimension 1
• Convergence of an Upwind Finite-Difference Scheme for Hamilton–Jacobi–Bellman Equation in Optimal Control

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