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




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