Some non monotone schemes for time dependent Hamilton-Jacobi-Bellman equations in stochastic control

2013/10/23 by Xavier Warin, Warin, Xavier
Economics, Econometrics and Finance · Engineering · Mathematics · #FOS: Mathematics #Fluid Dynamics and Turbulent Flows #Mathematical Biology Tumor Growth #Optimization and Control (math.OC) #Stochastic processes and financial applications #math.OC

paper · pdf · doi:10.48550/arxiv.1310.6121

23 pages, 3 figures

openalex publication_date 2013/10/23 · arxiv created 2015/01/21 · arxiv updated 2015/01/22 · openalex created_date 2022/10/01 · openalex updated_date 2026/07/28

Abstract

We introduce some approximation schemes for linear and fully non-linear diffusion equations of Bellman-Isaacs type. Although they are not monotone one can prove their convergence to the viscosity solution of the problem. Effective implementation of these scheme is discussed and they are extensively tested.

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