2000 character limit reached
Some non monotone schemes for Hamilton-Jacobi-Bellman equations (1312.5052v3)
Published 18 Dec 2013 in math.OC
Abstract: We extend the theory of Barles Jakobsen to develop numerical schemes for Hamilton Jacobi BeLLMan equations. We show that the monotonicity of the schemes can be relaxed still leading to the convergence to the viscosity solution of the equation. We give some examples of such numerical schemes and show that the bounds obtained by the framework developed are not tight. At last we test some numerical schemes.
Collections
Sign up for free to add this paper to one or more collections.
Paper Prompts
Sign up for free to create and run prompts on this paper using GPT-5.