A fast algorithm for the two dimensional HJB equation of stochastic control
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- A fast algorithm for the two dimensional HJB equation of stochastic control
- An approximation scheme for the optimal control of diffusion processes
- Consistency of Generalized Finite Difference Schemes for the Stochastic HJB Equation
- Continuous dependence estimates for viscosity solutions of fully nonlinear degenerate parabolic equations
- Error Bounds for Monotone Approximation Schemes for Hamilton--Jacobi--Bellman Equations
- On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
- On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
- Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
- Probability methods for approximations in stochastic control and for elliptic equations
- Some Estimates for Finite Difference Approximations
Cited in
(35)- Pollution Regulation for Electricity Generators in a Transmission Network
- Some non-monotone schemes for time dependent Hamilton-Jacobi-Bellman equations in stochastic control
- A new convergent explicit tree-grid method for HJB equations in one space dimension
- On the convergence of monotone schemes for path-dependent PDEs
- Some non monotone schemes for Hamilton-Jacobi-Bellman equations
- On factorizations of smooth nonnegative matrix-values functions and on smooth functions with values in polyhedra
- Monotone discretization of the Monge-Ampère equation of optimal transport
- A fast algorithm for the two dimensional HJB equation of stochastic control
- Minimal stencils for discretizations of anisotropic PDEs preserving causality or the maximum principle
- A priori estimates of smoothness of solutions to difference Bellman equations with linear and quasi-linear operators
- Applications of Markov chain approximation methods to optimal control problems in economics
- Continuous dependence results for non-linear Neumann type boundary value problems
- Weak approximation of second-order BSDEs
- High-order filtered schemes for time-dependent second order HJB equations
- Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains
- An approximation scheme for stochastic controls in continuous time
- On quadratic approximations for Hamilton-Jacobi-Bellman equations
- Second order monotone finite differences discretization of linear anisotropic differential operators
- Monotone and consistent discretization of the Monge-Ampère operator
- Consistency of a simple multidimensional scheme for Hamilton-Jacobi-Bellman equations
- Meshfree finite difference approximations for functions of the eigenvalues of the Hessian
- Approximative policy iteration for exit time feedback control problems driven by stochastic differential equations using tensor train format
- Optimal transportation under controlled stochastic dynamics
- Fast-marching methods for curvature penalized shortest paths
- Semi-Lagrangian schemes for linear and fully non-linear diffusion equations
- Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
- Infinite horizon stochastic optimal control problems with running maximum cost
- Discrete-time probabilistic approximation of path-dependent stochastic control problems
- Monotone and second order consistent scheme for the two dimensional Pucci equation
- Adaptive, anisotropic and hierarchical cones of discrete convex functions
- Finite difference methods for the infinity Laplace and \(p\)-Laplace equations
- The \(n\)-dimensional Stern-Brocot tree
- Riemannian fast-marching on cartesian grids, using Voronoi's first reduction of quadratic forms
- Consistency of Generalized Finite Difference Schemes for the Stochastic HJB Equation
- The non-locality of Markov chain approximations to two-dimensional diffusions
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