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

DOI10.1137/120881476zbMATH Open1281.65128OpenAlexW1991799089MaRDI QIDQ2870693FDOQ2870693

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

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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)

Cited In (13)

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• Boundary treatment and multigrid preconditioning for semi-Lagrangian schemes applied to Hamilton-Jacobi-Bellman equations
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• Power penalty method for solving HJB equations arising from finance
• Numerical methods for dynamic Bertrand oligopoly and American options under regime switching
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• Numerical analysis of strongly nonlinear PDEs

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