Semi-Lagrangian schemes for linear and fully non-linear Hamilton-Jacobi-Bellman equations

arXiv1403.1217MaRDI QIDQ6249552FDOQ6249552

Kristian Debrabant, Espen R. Jakobsen

Publication date: 5 March 2014

Abstract: We consider the numerical solution of Hamilton-Jacobi-Bellman equations arising in stochastic control theory. We introduce a class of monotone approximation schemes relying on monotone interpolation. These schemes converge under very weak assumptions, including the case of arbitrary degenerate diffusions. Besides providing a unifying framework that includes several known first order accurate schemes, stability and convergence results are given, along with two different robust error estimates. Finally, the method is applied to a super-replication problem from finance.

Mathematics Subject Classification ID

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) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)

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