Consistency of Generalized Finite Difference Schemes for the Stochastic HJB Equation.
J. Frédéric BonnansHousnaa ZidaniPublished in: SIAM J. Numer. Anal. (2003)
Keyphrases
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- finite difference
- numerical analysis
- partial differential equations
- hamilton jacobi bellman
- hamilton jacobi
- numerical scheme
- semi implicit
- diffusion equation
- stochastic control
- numerical solution
- finite element
- optimal control
- differential equations
- dynamic programming
- energy functional
- nonlinear systems
- level set
- machine learning