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

DOI10.1007/s00211-009-0271-1zbMath1187.65098OpenAlexW2146237228MaRDI QIDQ2270141

Nadia Megdich, Olivier Bokanowski, 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

Hamilton-Jacobi-Bellman equationnumerical examplesdiscontinuous dataeikonal equationnon-monotone scheme

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

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