Stochastic Processes and their Applications, ISSN 0304-4149, 07/2017, Volume 127, Issue 7, pp. 2093 - 2137

...], and also the very helpful notes of Cardialaguet (2013) on Lions’ lectures, the Master Equation has attracted a lot of interest, and various points of view...

Master equation | Hamilton–Jacobi–Bellman equation | Functionals of probability measures | Mean field type control | Fokker–Planck equation | Mean field games | Hamilton-Jacobi-Bellman equation | STATISTICS & PROBABILITY | Fokker-Planck equation | Seminars | Management science | Business schools | Analysis

Master equation | Hamilton–Jacobi–Bellman equation | Functionals of probability measures | Mean field type control | Fokker–Planck equation | Mean field games | Hamilton-Jacobi-Bellman equation | STATISTICS & PROBABILITY | Fokker-Planck equation | Seminars | Management science | Business schools | Analysis

Journal Article

Neural Networks, ISSN 0893-6080, 03/2018, Volume 99, pp. 166 - 177

...–Jacobi–Bellman (HJB) equation, Lyapunov technique, and inverse optimality, and hence guarantees that the chaotic drive network synchronizes with the chaotic response network influenced by uncertain noise signals...

Lyapunov technique | Coupled stochastic neural networks | Chaotic synchronization | Noise attenuation | Nonlinear optimal control | Hamilton–Jacobi–Bellman (HJB) equation | CRITERIA | FEEDBACK-CONTROL | SLIDING MODE CONTROL | TIME-VARYING DELAYS | NEUROSCIENCES | COMPUTER SCIENCE, ARTIFICIAL INTELLIGENCE | EXPONENTIAL LAG SYNCHRONIZATION | Hamilton-Jacobi-Bellman (HJB) equation | SYSTEMS | UNKNOWN-PARAMETERS | Neural networks

Lyapunov technique | Coupled stochastic neural networks | Chaotic synchronization | Noise attenuation | Nonlinear optimal control | Hamilton–Jacobi–Bellman (HJB) equation | CRITERIA | FEEDBACK-CONTROL | SLIDING MODE CONTROL | TIME-VARYING DELAYS | NEUROSCIENCES | COMPUTER SCIENCE, ARTIFICIAL INTELLIGENCE | EXPONENTIAL LAG SYNCHRONIZATION | Hamilton-Jacobi-Bellman (HJB) equation | SYSTEMS | UNKNOWN-PARAMETERS | Neural networks

Journal Article

European Journal of Control, ISSN 0947-3580, 09/2017, Volume 37, pp. 70 - 74

This paper presents a computational method to deal with the Hamilton–Jacobi–Bellman equation with respect to a nonlinear optimal control problem...

Hamilton–Jacobi–Bellman equation | Global minimizer flow | Nonlinear minimization | Feedback optimal control | Difference equation | Hamilton-Jacobi-Bellman equation | AUTOMATION & CONTROL SYSTEMS | Hamilton-Jacobi equations | Research | Dynamic programming | Feedback control systems | Methods | Mathematical optimization | Economic models | Nonlinear equations | Control systems | Optimization | Problems | Feedback | Optimal control | Ordinary differential equations | Queuing theory | Control theory | Iterative methods | Nonlinear control

Hamilton–Jacobi–Bellman equation | Global minimizer flow | Nonlinear minimization | Feedback optimal control | Difference equation | Hamilton-Jacobi-Bellman equation | AUTOMATION & CONTROL SYSTEMS | Hamilton-Jacobi equations | Research | Dynamic programming | Feedback control systems | Methods | Mathematical optimization | Economic models | Nonlinear equations | Control systems | Optimization | Problems | Feedback | Optimal control | Ordinary differential equations | Queuing theory | Control theory | Iterative methods | Nonlinear control

Journal Article

SIAM journal on scientific computing, ISSN 1095-7197, 2018, Volume 40, Issue 2, pp. A629 - A652

...) equations associated to optimal feedback control problems for semilinear parabolic equations is proposed...

High-dimensional approximation | Nonlinear dynamics | Hamilton–Jacobi–Bellman equations | Polynomial approximation | Optimal feedback control | MATHEMATICS, APPLIED | polynomial approximation | high-dimensional approximation | STABILIZATION | optimal feedback control | Hamilton-Jacobi-Bellman equations | nonlinear dynamics

High-dimensional approximation | Nonlinear dynamics | Hamilton–Jacobi–Bellman equations | Polynomial approximation | Optimal feedback control | MATHEMATICS, APPLIED | polynomial approximation | high-dimensional approximation | STABILIZATION | optimal feedback control | Hamilton-Jacobi-Bellman equations | nonlinear dynamics

Journal Article

Journal of vibration and control, ISSN 1077-5463, 5/2018, Volume 24, Issue 9, pp. 1741 - 1756

.... The method is based upon finding the numerical solution of the Hamilton–Jacobi–Bellman equation, corresponding to this problem, by the Legendre...

Hamilton–Jacobi–Bellman equation | Legendre–Gauss collocation | linear quadratic regulator system | Fractional optimal control problem | Riemann–Liouville fractional derivative | DIFFERENTIAL-EQUATIONS | EVOLUTION-EQUATIONS | FORMULATION | HOMOTOPY ANALYSIS METHOD | ENGINEERING, MECHANICAL | NUMERICAL SCHEME | CAPUTO | ACOUSTICS | ORDER | MECHANICS | Hamilton-Jacobi-Bellman equation | COLLOCATION METHOD | Riemann-Liouville fractional derivative | SYSTEMS | Legendre-Gauss collocation | Performance indices | Collocation methods | Optimal control | Optimization

Hamilton–Jacobi–Bellman equation | Legendre–Gauss collocation | linear quadratic regulator system | Fractional optimal control problem | Riemann–Liouville fractional derivative | DIFFERENTIAL-EQUATIONS | EVOLUTION-EQUATIONS | FORMULATION | HOMOTOPY ANALYSIS METHOD | ENGINEERING, MECHANICAL | NUMERICAL SCHEME | CAPUTO | ACOUSTICS | ORDER | MECHANICS | Hamilton-Jacobi-Bellman equation | COLLOCATION METHOD | Riemann-Liouville fractional derivative | SYSTEMS | Legendre-Gauss collocation | Performance indices | Collocation methods | Optimal control | Optimization

Journal Article

Journal of Scientific Computing, ISSN 0885-7474, 1/2018, Volume 74, Issue 1, pp. 145 - 174

...) partial differential equations. These nonsymmetric linear systems are uniformly bounded and coercive with respect to a related symmetric bilinear form, that is associated to a matrix $$\mathbf...

Discontinuous Galerkin | Computational Mathematics and Numerical Analysis | Theoretical, Mathematical and Computational Physics | Mathematics | Finite element methods | Hamilton–Jacobi–Bellman equations | 35J66 | Approximation in discontinuous spaces | Algorithms | 65F10 | GMRES | Mathematical and Computational Engineering | Preconditioners | Domain decomposition | 65N22 | 65N55 | 65N30 | MATHEMATICS, APPLIED | ALGORITHM | ADDITIVE SCHWARZ METHODS | Hamilton-Jacobi-Bellman equations | FINITE-ELEMENT APPROXIMATION | Analysis | Differential equations | Mathematics - Numerical Analysis | Numerical Analysis

Discontinuous Galerkin | Computational Mathematics and Numerical Analysis | Theoretical, Mathematical and Computational Physics | Mathematics | Finite element methods | Hamilton–Jacobi–Bellman equations | 35J66 | Approximation in discontinuous spaces | Algorithms | 65F10 | GMRES | Mathematical and Computational Engineering | Preconditioners | Domain decomposition | 65N22 | 65N55 | 65N30 | MATHEMATICS, APPLIED | ALGORITHM | ADDITIVE SCHWARZ METHODS | Hamilton-Jacobi-Bellman equations | FINITE-ELEMENT APPROXIMATION | Analysis | Differential equations | Mathematics - Numerical Analysis | Numerical Analysis

Journal Article

SIAM journal on numerical analysis, ISSN 0036-1429, 1/2013, Volume 51, Issue 1, pp. 137 - 162

We study the convergence of monotone P1 finite element methods on unstructured meshes for fully nonlinear Hamilton-Jacobi-Bellman equations arising from stochastic optimal control problems...

Viscosity | Finite element method | Mathematical problems | Approximation | Mathematical monotonicity | Optimal control | Numerical methods | Mathematical functions | Numerical schemes | Partial differential equations | Finite element methods | Hamilton-Jacobi- Bellman equations | Viscosity solutions | MATHEMATICS, APPLIED | PARABOLIC EQUATIONS | finite element methods | Hamilton-Jacobi-Bellman equations | DIFFUSION | partial differential equations | viscosity solutions | DISCRETE MAXIMUM PRINCIPLE | DIFFERENCE APPROXIMATIONS | SCHEMES | Operators | Discretization | Mathematical analysis | Consistency | Projection | Diffusion | Convergence

Viscosity | Finite element method | Mathematical problems | Approximation | Mathematical monotonicity | Optimal control | Numerical methods | Mathematical functions | Numerical schemes | Partial differential equations | Finite element methods | Hamilton-Jacobi- Bellman equations | Viscosity solutions | MATHEMATICS, APPLIED | PARABOLIC EQUATIONS | finite element methods | Hamilton-Jacobi-Bellman equations | DIFFUSION | partial differential equations | viscosity solutions | DISCRETE MAXIMUM PRINCIPLE | DIFFERENCE APPROXIMATIONS | SCHEMES | Operators | Discretization | Mathematical analysis | Consistency | Projection | Diffusion | Convergence

Journal Article

Automation and Remote Control, ISSN 0005-1179, 8/2017, Volume 78, Issue 8, pp. 1430 - 1437

In control of diffusion processes a very useful instrument is the equation for optimal strategy and cost...

Hamilton–Jacobi–Bellman equation | Calculus of Variations and Optimal Control; Optimization | Systems Theory, Control | Control, Robotics, Mechatronics | Computer-Aided Engineering (CAD, CAE) and Design | non-degenerate diffusion | non-uniqueness of solutions to Hamilton–Jacobi–Bellman equation | Mathematics | ergodic control | Mechanical Engineering | 1-dimensional diffusion process | INSTRUMENTS & INSTRUMENTATION | Hamilton-Jacobi-Bellman equation | AUTOMATION & CONTROL SYSTEMS | non-uniqueness of solutions to Hamilton-Jacobi-Bellman equation

Hamilton–Jacobi–Bellman equation | Calculus of Variations and Optimal Control; Optimization | Systems Theory, Control | Control, Robotics, Mechatronics | Computer-Aided Engineering (CAD, CAE) and Design | non-degenerate diffusion | non-uniqueness of solutions to Hamilton–Jacobi–Bellman equation | Mathematics | ergodic control | Mechanical Engineering | 1-dimensional diffusion process | INSTRUMENTS & INSTRUMENTATION | Hamilton-Jacobi-Bellman equation | AUTOMATION & CONTROL SYSTEMS | non-uniqueness of solutions to Hamilton-Jacobi-Bellman equation

Journal Article

Applied mathematics & optimization, ISSN 1432-0606, 2016, Volume 77, Issue 3, pp. 599 - 611

...) equation with surprisingly regular Hamiltonian is presented. The Hamiltonian H(t, x, p) is locally Lipschitz continuous with respect to all variables, convex in p and with linear growth with respect to p and x...

Hamilton–Jacobi–Bellman equation | Nonsmooth analysis | Optimal control theory | Viscosity solution | VISCOSITY SOLUTIONS | CONVEX HAMILTONIANS | MATHEMATICS, APPLIED | Hamilton-Jacobi-Bellman equation | BOLZA PROBLEMS | UNIQUENESS | Mathematical analysis | Cauchy problem | MATHEMATICAL SOLUTIONS | THAILAND | HAMILTONIANS | CAUCHY PROBLEM | CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS

Hamilton–Jacobi–Bellman equation | Nonsmooth analysis | Optimal control theory | Viscosity solution | VISCOSITY SOLUTIONS | CONVEX HAMILTONIANS | MATHEMATICS, APPLIED | Hamilton-Jacobi-Bellman equation | BOLZA PROBLEMS | UNIQUENESS | Mathematical analysis | Cauchy problem | MATHEMATICAL SOLUTIONS | THAILAND | HAMILTONIANS | CAUCHY PROBLEM | CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS

Journal Article

SIAM Journal on Control and Optimization, ISSN 0363-0129, 2017, Volume 55, Issue 5, pp. 2981 - 3012

Stochastic optimal control problems governed by delay equations with delay in the control are usually more difficult to study than those in which the delay appears only in the...

Optimal control of stochastic delay equations | Second order Hamilton-Jacobi-Bellman equations in infinite dimension | Delay in the control | Lack of structure condition | Smoothing properties of transition semigroups | optimal control of stochastic delay equations | HILBERT-SPACES | MATHEMATICS, APPLIED | PARABOLIC EQUATIONS | STATE CONSTRAINTS | HAMILTON-JACOBI EQUATIONS | DIFFERENTIAL-EQUATIONS | HORIZON | lack of structure condition | second order Hamilton Jacobi Bellman equations in infinite dimension | delay in the control | REGULARITY | smoothing properties of transition semigroups | BELLMAN EQUATIONS | SYSTEMS | KOLMOGOROV EQUATIONS | AUTOMATION & CONTROL SYSTEMS

Optimal control of stochastic delay equations | Second order Hamilton-Jacobi-Bellman equations in infinite dimension | Delay in the control | Lack of structure condition | Smoothing properties of transition semigroups | optimal control of stochastic delay equations | HILBERT-SPACES | MATHEMATICS, APPLIED | PARABOLIC EQUATIONS | STATE CONSTRAINTS | HAMILTON-JACOBI EQUATIONS | DIFFERENTIAL-EQUATIONS | HORIZON | lack of structure condition | second order Hamilton Jacobi Bellman equations in infinite dimension | delay in the control | REGULARITY | smoothing properties of transition semigroups | BELLMAN EQUATIONS | SYSTEMS | KOLMOGOROV EQUATIONS | AUTOMATION & CONTROL SYSTEMS

Journal Article

SIAM journal on control and optimization, ISSN 0363-0129, 2019, Volume 57, Issue 6, pp. 3911 - 3938

...) equation combined with algebra equations. This HJB equation is related to a stochastic optimal control problem for which the state equation is described by a fully coupled forward-backward stochastic differential equation (FBSDE...

MATHEMATICS, APPLIED | viscosity solution | STOCHASTIC DIFFERENTIAL-EQUATIONS | dynamic programming principle | Hamilton-Jacobi-Bellman equation | GAMES | FORWARD-BACKWARD SDES | FULLY COUPLED FBSDES | fully coupled forward-backward stochastic differential equations | AUTOMATION & CONTROL SYSTEMS

MATHEMATICS, APPLIED | viscosity solution | STOCHASTIC DIFFERENTIAL-EQUATIONS | dynamic programming principle | Hamilton-Jacobi-Bellman equation | GAMES | FORWARD-BACKWARD SDES | FULLY COUPLED FBSDES | fully coupled forward-backward stochastic differential equations | AUTOMATION & CONTROL SYSTEMS

Journal Article

Optimal Control Applications and Methods, ISSN 0143-2087, 03/2018, Volume 39, Issue 2, pp. 997 - 1010

...‐Jacobi‐Bellman equation arising in the stochastic optimal control of affine nonlinear systems are discussed...

stochastic optimal control | quadratic convergence | bounded continuous function | affine nonlinear system | Hamilton‐Jacobi‐Bellman equation | secant method | Hamilton-Jacobi-Bellman equation | MATHEMATICS, APPLIED | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | FEEDBACK STABILIZATION | THEOREM | PATH-INTEGRALS | AUTOMATION & CONTROL SYSTEMS | Control systems | Iterative methods | Nonlinear systems | Stochastic processes | Optimal control | Nonlinear control

stochastic optimal control | quadratic convergence | bounded continuous function | affine nonlinear system | Hamilton‐Jacobi‐Bellman equation | secant method | Hamilton-Jacobi-Bellman equation | MATHEMATICS, APPLIED | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | FEEDBACK STABILIZATION | THEOREM | PATH-INTEGRALS | AUTOMATION & CONTROL SYSTEMS | Control systems | Iterative methods | Nonlinear systems | Stochastic processes | Optimal control | Nonlinear control

Journal Article

Optimal Control Applications and Methods, ISSN 0143-2087, 03/2018, Volume 39, Issue 2, pp. 835 - 844

Summary It is generally impossible to analytically solve the Hamilton‐Jacobi‐Bellman (HJB) equation of an optimal control system...

tracking differentiator | Hamilton‐Jacobi‐Bellman | online | optimal | data‐driven | Hamilton function | Hamilton-Jacobi-Bellman | data-driven | MATHEMATICS, APPLIED | DISTURBANCE REJECTION CONTROL | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | NONLINEAR-SYSTEMS | DIFFERENTIATOR DESIGN | JACOBI-BELLMAN EQUATION | AUTOMATION & CONTROL SYSTEMS | Control systems | Models | Tracking | Differentiators | Computer simulation | Iterative methods | Neural networks | Optimal control

tracking differentiator | Hamilton‐Jacobi‐Bellman | online | optimal | data‐driven | Hamilton function | Hamilton-Jacobi-Bellman | data-driven | MATHEMATICS, APPLIED | DISTURBANCE REJECTION CONTROL | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | NONLINEAR-SYSTEMS | DIFFERENTIATOR DESIGN | JACOBI-BELLMAN EQUATION | AUTOMATION & CONTROL SYSTEMS | Control systems | Models | Tracking | Differentiators | Computer simulation | Iterative methods | Neural networks | Optimal control

Journal Article

Journal of Optimization Theory and Applications, ISSN 0022-3239, 2/2014, Volume 160, Issue 2, pp. 527 - 552

... to Bellman’s dynamic programming equation that arises in the optimal stabilization of discrete-time nonlinear control systems...

Nonlinear optimal regulation | Hamilton–Jacobi–Bellman equation | Calculus of Variations and Optimal Control; Optimization | Operations Research/Decision Theory | Discrete-time control systems | Numerical methods | Mathematics | Theory of Computation | Applications of Mathematics | Engineering, general | Dynamic programming | Optimization | Hamilton-Jacobi-Bellman equation | MATHEMATICS, APPLIED | DATA NONLINEAR-SYSTEMS | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | STABILIZATION | Control systems | Algorithms | Studies | Polynomials | Numerical analysis | Construction | Approximation | Computation | Dynamics | Mathematical analysis | Mathematical models | Boundaries

Nonlinear optimal regulation | Hamilton–Jacobi–Bellman equation | Calculus of Variations and Optimal Control; Optimization | Operations Research/Decision Theory | Discrete-time control systems | Numerical methods | Mathematics | Theory of Computation | Applications of Mathematics | Engineering, general | Dynamic programming | Optimization | Hamilton-Jacobi-Bellman equation | MATHEMATICS, APPLIED | DATA NONLINEAR-SYSTEMS | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | STABILIZATION | Control systems | Algorithms | Studies | Polynomials | Numerical analysis | Construction | Approximation | Computation | Dynamics | Mathematical analysis | Mathematical models | Boundaries

Journal Article

Computers and Mathematics with Applications, ISSN 0898-1221, 05/2017, Volume 73, Issue 9, pp. 1932 - 1944

A fast preconditioned policy iteration method is proposed for the Hamilton–Jacobi–Bellman (HJB) equation involving tempered fractional order partial derivatives...

Unconditional stability | Hamilton–Jacobi–Bellman equation | American options | Preconditioner | Tempered fractional derivative | NUMERICAL-METHODS | MATHEMATICS, APPLIED | Hamilton-Jacobi-Bellman equation | RETURNS | DIFFUSION-MODELS | Valuation | Analysis | Methods

Unconditional stability | Hamilton–Jacobi–Bellman equation | American options | Preconditioner | Tempered fractional derivative | NUMERICAL-METHODS | MATHEMATICS, APPLIED | Hamilton-Jacobi-Bellman equation | RETURNS | DIFFUSION-MODELS | Valuation | Analysis | Methods

Journal Article

Neurocomputing, ISSN 0925-2312, 10/2017, Volume 260, pp. 432 - 442

In this paper, an adaptive tracking control scheme is designed for a class of continuous-time uncertain nonlinear systems based on the approximate solution of the Hamilton–Jacobi–Bellman (HJB) equation...

Hamilton-Jacobi-Bellman (HJB) equation | Uncertainties | Neural networks | Adaptive tracking control | Adaptive dynamic programming (ADP) | COMPUTER SCIENCE, ARTIFICIAL INTELLIGENCE | Convergence (Social sciences)

Hamilton-Jacobi-Bellman (HJB) equation | Uncertainties | Neural networks | Adaptive tracking control | Adaptive dynamic programming (ADP) | COMPUTER SCIENCE, ARTIFICIAL INTELLIGENCE | Convergence (Social sciences)

Journal Article

Automatica (Oxford), ISSN 0005-1098, 1997, Volume 33, Issue 12, pp. 2159 - 2177

...) equation over a compact set containing the origin. The GHJB equation gives the cost of an arbitrary control law and can be used to improve the performance of this control...

generalized Hamilton-Jacobi-Bellman equation | optimal control | feedback synthesis | Galerkin approximation | Nonlinear control | Feedback synthesis | Hamilton-Jacobi-Bellman equation | Generalized | Optimal control | VISCOSITY SOLUTIONS | OPTIMAL COST | nonlinear control | DETERMINISTIC CONTROL-PROBLEMS | STABILITY | BILINEAR-SYSTEMS | TIME | ENGINEERING, ELECTRICAL & ELECTRONIC | CONTROL LAW | NONLINEAR-SYSTEMS | OPTIMAL FEEDBACK-CONTROL | POWER-SYSTEMS | AUTOMATION & CONTROL SYSTEMS

generalized Hamilton-Jacobi-Bellman equation | optimal control | feedback synthesis | Galerkin approximation | Nonlinear control | Feedback synthesis | Hamilton-Jacobi-Bellman equation | Generalized | Optimal control | VISCOSITY SOLUTIONS | OPTIMAL COST | nonlinear control | DETERMINISTIC CONTROL-PROBLEMS | STABILITY | BILINEAR-SYSTEMS | TIME | ENGINEERING, ELECTRICAL & ELECTRONIC | CONTROL LAW | NONLINEAR-SYSTEMS | OPTIMAL FEEDBACK-CONTROL | POWER-SYSTEMS | AUTOMATION & CONTROL SYSTEMS

Journal Article

Analysis and PDE, ISSN 2157-5045, 2017, Volume 10, Issue 5, pp. 1227 - 1254

This paper is concerned with the existence of viscosity solutions of nonlocal fully nonlinear equations that are not translation-invariant...

Integro-PDE | Hamilton-jacobi-bellman-isaacs equation | Weak harnack inequality | Viscosity solution | Perron's method | VISCOSITY SOLUTIONS | MATHEMATICS, APPLIED | weak Harnack inequality | integro-PDE | PARABOLIC INTEGRODIFFERENTIAL EQUATIONS | Hamilton-Jacobi-Bellman-Isaacs equation | REPRESENTATION | UNIQUENESS | MATHEMATICS | viscosity solution | PARTIAL-DIFFERENTIAL-EQUATIONS | REGULARITY | ROUGH KERNELS | DIFFUSION | ELLIPTIC-EQUATIONS | Mathematics - Analysis of PDEs

Integro-PDE | Hamilton-jacobi-bellman-isaacs equation | Weak harnack inequality | Viscosity solution | Perron's method | VISCOSITY SOLUTIONS | MATHEMATICS, APPLIED | weak Harnack inequality | integro-PDE | PARABOLIC INTEGRODIFFERENTIAL EQUATIONS | Hamilton-Jacobi-Bellman-Isaacs equation | REPRESENTATION | UNIQUENESS | MATHEMATICS | viscosity solution | PARTIAL-DIFFERENTIAL-EQUATIONS | REGULARITY | ROUGH KERNELS | DIFFUSION | ELLIPTIC-EQUATIONS | Mathematics - Analysis of PDEs

Journal Article

Computational and Applied Mathematics, ISSN 0101-8205, 7/2018, Volume 37, Issue 3, pp. 3806 - 3812

In this paper, we show that a proper limit of solutions of discrete Hamilton–Jacobi–Bellman (dHJB) equations in a random walk model becomes a viscosity solution of a Hamilton...

Discrete Hamilton–Jacobi–Bellman equation | Computational Mathematics and Numerical Analysis | 93E20 | 91G10 | Mathematical Applications in Computer Science | Viscosity solution | Hamilton–Jacobi–Bellman variational inequality | Mathematics | Applications of Mathematics | Singular stochastic control problem | Mathematical Applications in the Physical Sciences | 91G80 | MATHEMATICS, APPLIED | Discrete Hamilton-Jacobi-Bellman equation | Hamilton-Jacobi-Bellman variational inequality

Discrete Hamilton–Jacobi–Bellman equation | Computational Mathematics and Numerical Analysis | 93E20 | 91G10 | Mathematical Applications in Computer Science | Viscosity solution | Hamilton–Jacobi–Bellman variational inequality | Mathematics | Applications of Mathematics | Singular stochastic control problem | Mathematical Applications in the Physical Sciences | 91G80 | MATHEMATICS, APPLIED | Discrete Hamilton-Jacobi-Bellman equation | Hamilton-Jacobi-Bellman variational inequality

Journal Article

Journal of Scientific Computing, ISSN 0885-7474, 3/2016, Volume 66, Issue 3, pp. 1122 - 1147

We introduce some approximation schemes for linear and fully non-linear diffusion equations of Bellman type...

Computational Mathematics and Numerical Analysis | 49L20 | 65N12 | Algorithms | Theoretical, Mathematical and Computational Physics | Numerical methods | Semi-Lagrangian | Appl.Mathematics/Computational Methods of Engineering | Stochastic control | Mathematics | Hamilton–Jacobi–Bellman equations | ORDER | MATHEMATICS, APPLIED | APPROXIMATIONS | CONVERGENCE | Hamilton-Jacobi-Bellman equations | Viscosity | Time dependence | Approximation | Mathematical analysis | Stochastic processes | Nonlinearity | Diffusion | Convergence

Computational Mathematics and Numerical Analysis | 49L20 | 65N12 | Algorithms | Theoretical, Mathematical and Computational Physics | Numerical methods | Semi-Lagrangian | Appl.Mathematics/Computational Methods of Engineering | Stochastic control | Mathematics | Hamilton–Jacobi–Bellman equations | ORDER | MATHEMATICS, APPLIED | APPROXIMATIONS | CONVERGENCE | Hamilton-Jacobi-Bellman equations | Viscosity | Time dependence | Approximation | Mathematical analysis | Stochastic processes | Nonlinearity | Diffusion | Convergence

Journal Article