On the non-existence of higher order monotone approximation schemes for HJB equations

DOI10.1016/J.AML.2015.08.005zbMath1330.65191OpenAlexW1422829881MaRDI QIDQ900998

N. E. Zubov

Publication date: 23 December 2015

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2015.08.005

zbMATH Keywords

Hamilton-Jacobi-Bellman equationmonotone numerical schemesorder of consistency

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Numerical methods for partial differential equations, boundary value problems (65N99)

Related Items (4)

Numerical analysis of strongly nonlinear PDEs ⋮ A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables ⋮ Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources ⋮ Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems

Cites Work

• Unnamed Item
• Nine-point difference solutions for Poisson's equation
• Numerical Methods for Nonlinear PDEs in Finance
• Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance
• User’s guide to viscosity solutions of second order partial differential equations

This page was built for publication: On the non-existence of higher order monotone approximation schemes for HJB equations