Probabilistic max-plus schemes for solving Hamilton-Jacobi-Bellman equations

DOI10.1007/978-3-030-01959-4_9zbMath1415.65240arXiv1801.01780OpenAlexW4301018487MaRDI QIDQ2419394

Marianne Akian, Eric Fodjo

Publication date: 13 June 2019

Full work available at URL: https://arxiv.org/abs/1801.01780

zbMATH Keywords

stochastic controlHamilton-Jacobi-Bellman equationsprobabilistic schemesmax-plus numerical methodstropical methods

Mathematics Subject Classification ID

Discrete approximations in optimal control (49M25) Hamilton-Jacobi equations (35F21) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

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