On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman equations

Mathematical Modelling and Numerical Analysis

Volumn 36, Issue 1, 2002, Pages 33-54

  Barles, Guy ^a   Jakobsen, Espen Robstad ^b  

^a UNIVERSITÉ DE TOURS   (France)

^b NORWEGIAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Norway)

Author keywords

Approximation schemes; Convergence rate; Finite difference methods; Hamilton Jacobi Bellman equation; Viscosity solution

Indexed keywords

EID: 0036012033     PISSN: 0764583X     EISSN: None     Source Type: Journal    
DOI: 10.1051/m2an:2002002     Document Type: Article

References (20)

1. Convergence of approximation schemes for fully nonlinear second-order equations
2. An approximation scheme for the optimal control of diffusion processes
3. On a discrete approximation of the Hamilton-Jacobi equation of dynamic programming
4. User's guide to viscosity solutions of second-order partial differential equations
5. Two approximations of solutions of Hamilton-Jacobi equations
6. Viscosity solutions of fully nonlinear second-order elliptic partial differential equations
7. Continuous dependence estimates for viscosity solutions of fully nonlinear degenerate parabolic equations
8. On the rate of convergence of finite-difference approximations for Bellman's equations
9. On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
10. Existence results for first-order Hamilton-Jacobi equations
11. Optimal control of diffusion processes and Hamilton-Jacobi-Bellman equations. Part I: The dynamic programming principle and applications
12. Optimal control of diffusion processes and Hamilton-Jacobi-Bellman equations. Part II: Viscosity solutions and uniqueness
13. Optimal control of diffusion processes and Hamilton-Jacobi-Bellman equations, Part III
14. Approximation numérique des équations de Hamilton-Jacobi-Bellman
15. Some estimates for finite difference approximations
16. Approximation schemes for viscosity solutions of Hamilton-Jacobi equations