scientific article; zbMATH DE number 4205918
zbMATH Open0729.65077MaRDI QIDQ3355178FDOQ3355178
Authors: Guy Barles, Panagiotis E. Souganidis
Publication date: 1991
Title of this publication is not available (Why is that?)
Recommendations
- scientific article; zbMATH DE number 1531766
- scientific article; zbMATH DE number 7694595
- scientific article; zbMATH DE number 579573
- Approximation of the solution of nonlinear second order integro-differential equations
- Approximations of solutions to some second order nonlinear differential equations
- scientific article; zbMATH DE number 3842279
- Full discretisation of second-order nonlinear evolution equations: strong convergence and applications
- Convergence of solutions to second-order gradient-like systems with analytic nonlinearities
- scientific article; zbMATH DE number 3921881
- On non-monotone approximation schemes for solutions of the second-order differential equations.
convergencecomparison principlestochastic differential gamesviscosity solutionnonlinear second order equationsmonotone, stable and consistent scheme
Differential games (aspects of game theory) (91A23) Nonlinear boundary value problems for linear elliptic equations (35J65) Nonlinear initial, boundary and initial-boundary value problems for linear parabolic equations (35K60) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Stochastic games, stochastic differential games (91A15)
Cited In (only showing first 100 items - show all)
- Convergence \& rates for Hamilton-Jacobi equations with Kirchoff junction conditions
- An accelerated method for nonlinear elliptic PDE
- Optimal control of an energy storage facility under a changing economic environment and partial information
- A general comparison principle for Hamilton Jacobi Bellman equations on stratified domains
- Solving the 2-D elliptic Monge-Ampère equation by a Kansa's method
- Optimal oil production and taxation under mean reverting jump diffusion models
- Numerical treatment to a non-local parabolic free boundary problem arising in financial bubbles
- High-order filtered schemes for first order time dependent linear and non-linear partial differential equations
- The non-locality of Markov chain approximations to two-dimensional diffusions
- Stochastic differential games: a sampling approach via FBSDEs
- Error estimates for a finite difference scheme associated with Hamilton-Jacobi equations on a junction
- On the rate of convergence for monotone numerical schemes for nonlocal Isaacs equations
- Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources
- Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance
- A numerical approach for a general class of the spatial segregation of reaction-diffusion systems arising in population dynamics
- Multigrid methods for two-player zero-sum stochastic games.
- Weakly chained matrices, policy iteration, and impulse control
- Hybrid fast sweeping methods for anisotropic eikonal equation in two-dimensional tilted transversely isotropic media
- Numerical methods for two person games arising from transboundary pollution with emission permit trading
- Dynamic portfolio selection with nonlinear transaction costs
- Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations
- Utility indifference pricing and hedging for structured contracts in energy markets
- A numerical study of a degenerate diffusion equation driven by a Heaviside function
- Optimal control of branching diffusion processes: a finite horizon problem
- A partial differential equation obstacle problem for the level set approach to visibility
- Error estimates for numerical approximation of Hamilton-Jacobi equations related to hybrid control systems
- A mean value formula for the variational \(p\)-Laplacian
- Convergence of dynamic programming principles for the \(p\)-Laplacian
- Control-theoretic models of environmental crime
- A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities
- A free boundary characterisation of the root barrier for Markov processes
- Monotone numerical schemes and feedback construction for hybrid control systems
- Monotone mixed finite difference scheme for Monge-Ampère equation
- A simplified stochastic optimization model for logistic dynamics with control-dependent carrying capacity
- Optimal control algorithm of constrained fuzzy system integrating sliding mode control and model predictive control
- Optimal market making under partial information with general intensities
- Consumption in incomplete markets
- Pathwise solutions for fully nonlinear first- and second-order partial differential equations with multiplicative rough time dependence
- Numerical method for image registration model based on optimal mass transport
- Improved accuracy of monotone finite difference schemes on point clouds and regular grids
- On numerical approximations of fractional and nonlocal mean field games
- Drift counteraction optimal control for deterministic systems and enhancing convergence of value iteration
- Numerical methods for dynamic Bertrand oligopoly and American options under regime switching
- Convergent approximation of non-continuous surfaces of prescribed Gaussian curvature
- MARS: an analytic framework of interface tracking via mapping and adjusting regular semialgebraic sets
- A deterministic game interpretation for fully nonlinear parabolic equations with dynamic boundary conditions
- The value function of the shallow lake problem as a viscosity solution of a HJB equation
- Analytical binomial lookback options with double-exponential jumps
- A monotone scheme for Hamilton-Jacobi equations via the nonstandard finite difference method
- Convolution kernels and stability of threshold dynamics methods
- Some non-monotone schemes for time dependent Hamilton-Jacobi-Bellman equations in stochastic control
- Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?
- The pricing of Asian options in uncertain volatility model
- The game theoretic \(p\)-Laplacian and semi-supervised learning with few labels
- Optimal soaring via Hamilton-Jacobi-Bellman equations
- Convergence of deterministic growth models
- Twisted Lax-Oleinik formulas and weakly coupled systems of Hamilton-Jacobi equations
- Zero-sum stochastic differential games without the Isaacs condition: random rules of priority and intermediate Hamiltonians
- Model-Independent Bounds for Asian Options: A Dynamic Programming Approach
- Convergent semi-explicit scheme to a non-linear eikonal system
- Local KPZ behavior under arbitrary scaling limits
- Continuous vs. discrete time: some computational insights
- McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
- On the numerical approximation of \(p\)-biharmonic and \(\infty\)-biharmonic functions
- Market making with alpha signals
- On asymptotic speed of solutions to level-set mean curvature flow equations with driving and source terms
- Unified analysis of discontinuous Galerkin and \(C^0\)-interior penalty finite element methods for Hamilton-Jacobi-Bellman and Isaacs equations
- A fixed-point policy-iteration-type algorithm for symmetric nonzero-sum stochastic impulse control games
- Finite element methods for isotropic Isaacs equations with viscosity and strong Dirichlet boundary conditions
- Executive stock option exercise with full and partial information on a drift change point
- A convergent finite difference method for optimal transport on the sphere
- Mathematical and numerical analyses of a stochastic impulse control model with imperfect interventions
- On the weak convergence of Monge-Ampère measures for discrete convex mesh functions
- Convergence of adaptive discontinuous Galerkin and \(C^0\)-interior penalty finite element methods for Hamilton-Jacobi-Bellman and Isaacs equations
- A fitted finite volume method for stochastic optimal control problems in finance
- High order Bellman equations and weakly chained diagonally dominant tensors
- Mixed finite element approximation of the Hamilton-Jacobi-Bellman equation with Cordes coefficients
- Dynamic programming viscosity solution approach and its applications to optimal control problems
- \(L^{1}\)-minimization methods for Hamilton-Jacobi equations: the one-dimensional case
- A convexity enforcing \(C^0\) interior penalty method for the Monge-Ampère equation on convex polygonal domains
- A convergence framework for optimal transport on the sphere
- HJB and Fokker-Planck equations for river environmental management based on stochastic impulse control with discrete and random observation
- A rotating-grid upwind fast sweeping scheme for a class of Hamilton-Jacobi equations
- Rates of convergence in \(W^2_p\)-norm for the Monge-Ampère equation
- Minimal convex extensions and finite difference discretisation of the quadratic Monge-Kantorovich problem
- Convergence of discrete-time deterministic games to path-dependent Isaacs partial differential equations under quadratic growth conditions
- Tukey depths and Hamilton-Jacobi differential equations
- The existence of a bounded invariant region for compressible Euler equations in different gas states
- Analysis and algorithms for \(\ell_p\)-based semi-supervised learning on graphs
- Comparison principle for the Cauchy problem for Hamilton-Jacobi equations with discontinuous data
- On the Numerical Approximation of First-Order Hamilton-Jacobi Equations
- Donsker-type theorem for BSDEs: rate of convergence
- A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme
- Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps
- Fast weak-KAM integrators for separable Hamiltonian systems
- Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains
- Convergence of natural \(p\)-means for the \(p\)-Laplacian in the Heisenberg group
- An envelope method for solving continuous-time stochastic models with occasionally binding constraints
- Convergence of the natural \(p\)-means for the \(p\)-Laplacian
- Variational \(p\)-harmonious functions: existence and convergence to \(p\)-harmonic functions
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3355178)