Second order numerical methods for first order Hamilton-Jacobi equations

SIAM Journal on Numerical Analysis

Volumn 40, Issue 3, 2002, Pages 1136-1183

  Szplro, Adam ^a   Dupuis, Paul ^b  

^a MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

^b BROWN UNIVERSITY   (United States)

Author keywords

Asymptotic expansion; Finite difference approximation; Hamilton Jacobi equations; Markov chain approximation; Numerical approximation; Second order convergence

Indexed keywords

APPROXIMATION THEORY; ASYMPTOTIC STABILITY; CONVERGENCE OF NUMERICAL METHODS; FEEDBACK; FUNCTIONS; OPTIMAL CONTROL SYSTEMS; PROBABILITY;

HAMILTON-JACOBI EQUATIONS;

PARTIAL DIFFERENTIAL EQUATIONS;

EID: 0038380608     PISSN: 00361429     EISSN: None     Source Type: Journal    
DOI: 10.1137/S003614299935704X     Document Type: Article

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