Boundary mesh refinement for semi-Lagrangian schemes

DOI10.1515/9783110543599-008MaRDI QIDQ4557480zbMATH OpenOpenAlexFDO

Authors Athena Picarelli, Julen Rotaetxe Arto, C. Reisinger

Publication date 23 November 2018

Published in Hamilton-Jacobi-Bellman Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/9783110543599-008

zbMATH Keywords

bounded domainsHamilton-Jacobi-Bellman equationslocal mesh refinementsemi-Lagrangian schemeswide stencils

Mathematics Subject Classification ID

Second-order elliptic equations (35J15) Degenerate elliptic equations (35J70) Nonlinear initial, boundary and initial-boundary value problems for nonlinear parabolic equations (35K61) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(6)

• Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems
• Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains
• Boundary treatment and multigrid preconditioning for semi-Lagrangian schemes applied to Hamilton-Jacobi-Bellman equations
• An approximation scheme for semilinear parabolic PDEs with convex and coercive Hamiltonians
• A numerical scheme for the quantile hedging problem
• A semi-Lagrangian -monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate

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