A fast algorithm for the two dimensional HJB equation of stochastic control

Mathematical Modelling and Numerical Analysis

Volumn 38, Issue 4, 2004, Pages 723-735

  Bonnans, J Frédéric ^a   Ottenwaelter, Élisabeth ^a   Zidani, Housnaa ^a  

^a INRIA ROCQUENCOURT   (France)

Author keywords

Consistency; Finite differences; HJB equation; Stern brocot tree; Stochastic control; Viscosity solutions

Indexed keywords

EID: 4444313180     PISSN: 0764583X     EISSN: None     Source Type: Journal    
DOI: 10.1051/m2an:2004034     Document Type: Article

References (15)

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