Error Bounds for Monotone Approximation Schemes for Hamilton--Jacobi--Bellman Equations
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Numerical Analysis,Applied Mathematics,Computational Mathematics
Link
http://epubs.siam.org/doi/pdf/10.1137/S003614290343815X
Reference34 articles.
1. On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
2. Convergence of approximation schemes for fully nonlinear second order equations
3. Consistency of Generalized Finite Difference Schemes for the Stochastic HJB Equation
4. An approximation scheme for the optimal control of diffusion processes
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