Consistency of generalized finite difference schemes for the stochastic HJB equation

SIAM Journal on Numerical Analysis

Volumn 41, Issue 3, 2003, Pages 1008-1021

  Bonnans, J Frédéric ^a   Zidani, Housnaa ^b  

^a INRIA ROCQUENCOURT   (France)

^b ENSTA PARISTECH   (France)

Author keywords

Consistency; Finite differences; HJB equation; Stochastic control; Viscosity solutions

Indexed keywords

ALGORITHMS; APPROXIMATION THEORY; FUNCTIONS; MARKOV PROCESSES; MATHEMATICAL MODELS; MATRIX ALGEBRA; PROBLEM SOLVING;

CONSISTENCY; FINITE DIFFERENCES; STOCHASTIC CONTROLS; VISCOSITY SOLUTIONS;

RANDOM PROCESSES;

EID: 3142693266     PISSN: 00361429     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0036142901387336     Document Type: Article

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