Finite element methods for HJB equations

DOI10.1142/9789814338820_0010MaRDI QIDQ4909933zbMATHOpenAlexFDO

Authors M. Boulbrachene

Publication date 22 March 2013

Published in Mathematics in Science and Technology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/9789814338820_0010

zbMATH Keywords

contractionerror estimatesfinite elementsHamilton-Jacobi-Bellman equationsquasivariational inequalitiesHJB equationssubsolutionsdiscrete regularity

Mathematics Subject Classification ID

Hamilton-Jacobi equations (35F21) Variational inequalities (49J40) Numerical methods for variational inequalities and related problems (65K15) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30)

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Cited in

(11)

• Tensor decomposition and high-performance computing for solving high-dimensional stochastic control system numerically
• A narrow-stencil finite difference method for approximating viscosity solutions of Hamilton-Jacobi-Bellman equations
• Recent advances in numerical solution of HJB equations arising in option pricing
• \(L^2(H_\gamma^1)\) finite element convergence for degenerate isotropic Hamilton-Jacobi-Bellman equations
• The mixed finite element method for Hamilton-Jacobi-Bellman equations
• Finite element methods with artificial diffusion for Hamilton-Jacobi-Bellman equations
• Application of maximal monotone operator method for solving Hamilton-Jacobi-Bellman equation arising from optimal portfolio selection problem
• The finite element approximation of Hamilton-Jacobi-Bellman equations
• A finite element like scheme for integro-partial differential Hamilton-Jacobi-Bellman equations
• The finite element approximation of Hamilton--Jacobi--Bellman equations: The noncoercive case
• Recovery based linear finite element methods for Hamilton-Jacobi-Bellman equation with cordes coefficients

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