Multigrid methods for second-order Hamilton-Jacobi-Bellman and Hamilton-Jacobi-Bellman-Isaacs equations

DOI10.1137/120881476MaRDI QIDQ2870693zbMATH OpenOpenAlexFDO

Authors Dong Han, J. W. L. Wan

Publication date 21 January 2014

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/120881476

zbMATH Keywords

numerical examplesoption pricingHamilton-Jacobi-Bellman equationsmultigrid methodsrelaxation schemepolicy iterationinterpolation methodcoarse grid correctionrestriction methodfull approximation schemeHamilton-Jacobi-Bellman-Isaacs equationsjump in control

Mathematics Subject Classification ID

Hamilton-Jacobi equations (35F21) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22)

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