A semi-Lagrangian scheme for Hamilton-Jacobi-Bellman equations with oblique derivatives boundary conditions
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Publication:2678963
DOI10.1007/s00211-022-01336-6zbMath1505.49022arXiv2109.10228OpenAlexW4313202124MaRDI QIDQ2678963
Elisabetta Carlini, Francisco J. Silva, Elisa Calzola, Xavier Dupuis
Publication date: 18 January 2023
Published in: Numerische Mathematik (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2109.10228
Dynamic programming in optimal control and differential games (49L20) Nonlinear parabolic equations (35K55) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Hamilton-Jacobi equations (35F21) Hamilton-Jacobi equations in optimal control and differential games (49L12)
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