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作者:Igor Kossaczký , Matthias Ehrhardt , Michael Günther
来源:[J].Applied Mathematics Letters(IF 1.501), 2016, Vol.52, pp.53-57
摘要:Abstract(#br)In this work we present a result on the non-existence of monotone, consistent linear discrete approximation of order higher than 2. This is an essential ingredient, if we want to solve numerically nonlinear and particularly Hamilton–Jacobi–Bellman (HJB) equation...
作者:Guy Barles , Espen R. Jakobsen
来源:[J].mcom(IF 1.366), 2007, Vol.76 (260), pp.1861-1893
摘要:We obtain nonsymmetric upper and lower bounds on the rate of convergence of general monotone approximation/numerical schemes for parabolic Hamilton-Jacobi-Bellman equations by introducing a new notion of consistency. Our results are robust and general - they improve and extend ea...
作者:Espen R. Jakobsen
来源:[J].Asymptotic Analysis(IF 0.535), 2006, Vol.49 (3,4)
摘要:Recently, Krylov, Barles, and Jakobsen developed the theory for estimating errors of monotone approximation schemes for the Bellman equation (a convex Isaacs equation). In this paper we consider an extension of this theory to a class of non-convex multidimensional Isaacs equation...
作者:Kristian Debrabant , Espen R. Jakobsen
来源:[J].Mathematics of Computation(IF 1.366), 2012, Vol.82 (283), pp.1433-1462
摘要:For linear and fully non-linear diffusion equations of Bellman-Isaacs type, we introduce a class of approximation schemes based on differencing and interpolation. As opposed to classical numerical methods, these schemes work for general diffusions with coefficient matrices that m...
作者:C. Reisinger , P.A. Forsyth
来源:[J].Applied Numerical Mathematics(IF 1.152), 2016, Vol.103, pp.27-47
摘要:Abstract(#br)An advantageous feature of piecewise constant policy timestepping for Hamilton–Jacobi–Bellman (HJB) equations is that different linear approximation schemes, and indeed different meshes, can be used for the resulting linear equations for different control param...

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