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Volumn 340, Issue 7, 2005, Pages 499-502

Consistency of a simple multidimensional scheme for Hamilton-Jacobi-Bellman equations

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EID: 15944420821 PISSN: 1631073X EISSN: None Source Type: Journal
DOI: 10.1016/j.crma.2005.02.001 Document Type: Article

Times cited : (7)

References (6)

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- Consistency of generalized finite difference schemes for the stochastic HJB equation
- F. Bonnans H. Zidani Consistency of generalized finite difference schemes for the stochastic HJB equation SIAM J. Numer. Anal. 41 3 2003 1008-1021
- (2003) SIAM J. Numer. Anal. , vol.41 , Issue.3 , pp. 1008-1021
- Bonnans, F.¹ Zidani, H.²

2
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- A fast algorithm for the two dimensional HJB equation of stochastic control
- F. Bonnans E. Ottenwaelter H. Zidani A fast algorithm for the two dimensional HJB equation of stochastic control Math. Model. Numer. Anal. 38 4 2004 723-735
- (2004) Math. Model. Numer. Anal. , vol.38 , Issue.4 , pp. 723-735
- Bonnans, F.¹ Ottenwaelter, E.² Zidani, H.³

3
- 0002560251
- An approximation scheme for the optimal control of diffusion processes
- F. Camilli M. Falcone An approximation scheme for the optimal control of diffusion processes Math. Model. Numer. Anal. 29 1 1995 97-122
- (1995) Math. Model. Numer. Anal. , vol.29 , Issue.1 , pp. 97-122
- Camilli, F.¹ Falcone, M.²

4
- 0003924011
- second ed. New York: Springer-Verlag. Appl. Math
- H.J. Kushner P.G. Dupuis Numerical Methods for Stochastic Control Problems in Continuous Time second ed. Appl. Math. vol. 24 2001 Springer-Verlag New York
- (2001) Numerical Methods for Stochastic Control Problems in Continuous Time , vol.24
- Kushner, H.J.¹ Dupuis, P.G.²

5
- 0009924773
- Approximation numérique des équations de Hamilton-Jacobi-Bellman
- P.-L. Lions B. Mercier Approximation numérique des équations de Hamilton-Jacobi-Bellman RAIRO Anal. Numér. 14 14 1980 369-393
- (1980) RAIRO Anal. Numér. , vol.14 , Issue.14 , pp. 369-393
- Lions, P.-L.¹ Mercier, B.²

6
- 0036832953
- Variable resolution discretization in optimal control
- R. Munos A. Moore Variable resolution discretization in optimal control Mach. Learn. 49 2-3 2002 291-323
- (2002) Mach. Learn. , vol.49 , Issue.2-3 , pp. 291-323
- Munos, R.¹ Moore, A.²

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