Some non monotone schemes for Hamilton-Jacobi-Bellman equations

DOI10.1051/proc/201965476zbMath1419.65035arXiv1312.5052OpenAlexW2963442995MaRDI QIDQ4967890

Xavier Warin

Publication date: 11 July 2019

Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.5052

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Existence theories for optimal control problems involving partial differential equations (49J20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) PDEs in connection with control and optimization (35Q93)

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