Some non-monotone schemes for time dependent Hamilton-Jacobi-Bellman equations in stochastic control
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Publication:2398476
DOI10.1007/s10915-015-0057-9zbMath1372.49034arXiv1310.6121OpenAlexW1564449693MaRDI QIDQ2398476
Publication date: 16 August 2017
Published in: Journal of Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1310.6121
Dynamic programming in optimal control and differential games (49L20) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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