A fast algorithm for the two dimensional HJB equation of stochastic control

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

Mathematics Subject Classification ID

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

• Probability methods for approximations in stochastic control and for elliptic equations
• On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
• Continuous dependence estimates for viscosity solutions of fully nonlinear degenerate parabolic equations
• Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
• Consistency of Generalized Finite Difference Schemes for the Stochastic HJB Equation
• On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
• An approximation scheme for the optimal control of diffusion processes
• Some Estimates for Finite Difference Approximations
• A fast algorithm for the two dimensional HJB equation of stochastic control
• Error Bounds for Monotone Approximation Schemes for Hamilton--Jacobi--Bellman Equations
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