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Author Bonnans, J. Frederic ♦ Zidani, Hasnaa
Source Hyper Articles en Ligne (HAL)
Content type Text
File Format PDF
Language English
Subject Keyword CONSISTENCY ♦ NUMERICAL ANALYSIS OF PARTIAL DIFFERENTIAL EQUATIONS ♦ STOCHASTIC CONTROL ♦ FINITE DIFFERENCES ♦ HAMILTON JACOBI BELLMAN EQUATION ♦ info ♦ math ♦ Computer Science [cs]/Other [cs.OH] ♦ Mathematics [math]/Optimization and Control [math.OC]
Abstract We analyse a class of numerical schemes for solving the HJB equation for stochastic control problems, that generalizes the usual finite difference method. The latter is known to be monotonous, and hence valid, only if the scaled covariance matrix is diagonal dominant. We generalize this result by, given the set of neighbouring points allowed to enter in the scheme, showing how to compute the class of covariance matrices that is consistent with this set of points. We perform this computation for several cases in dimension 2 to 4.
Educational Use Research
Learning Resource Type Report ♦ Article
Publisher Date 2001-01-01
Publisher Institution INRIA