Multigrid methods for second-order Hamilton-Jacobi-Bellman and Hamilton-Jacobi-Bellman-Isaacs equations (Q2870693)
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scientific article; zbMATH DE number 6248327
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multigrid methods for second-order Hamilton-Jacobi-Bellman and Hamilton-Jacobi-Bellman-Isaacs equations |
scientific article; zbMATH DE number 6248327 |
Statements
21 January 2014
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multigrid methods
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full approximation scheme
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relaxation scheme
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policy iteration
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Hamilton-Jacobi-Bellman equations
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Hamilton-Jacobi-Bellman-Isaacs equations
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jump in control
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numerical examples
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restriction method
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interpolation method
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coarse grid correction
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option pricing
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Multigrid methods for second-order Hamilton-Jacobi-Bellman and Hamilton-Jacobi-Bellman-Isaacs equations (English)
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