A fast algorithm for the two dimensional HJB equation of stochastic control
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Publication:5315481
DOI10.1051/m2an:2004034zbMath1130.93433OpenAlexW2187194588MaRDI QIDQ5315481
Élisabeth Ottenwaelter, Joseph Frédéric Bonnans, Housnaa Zidani
Publication date: 8 September 2005
Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)
Full work available at URL: http://www.numdam.org/item?id=M2AN_2004__38_4_723_0
Optimal stochastic control (93E20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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Cites Work
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- A fast algorithm for the two dimensional HJB equation of stochastic control
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