Numerical solution of Hamilton–Jacobi–Bellman equations by an exponentially fitted finite volume method (Q5475294)
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scientific article; zbMATH DE number 5033335
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical solution of Hamilton–Jacobi–Bellman equations by an exponentially fitted finite volume method |
scientific article; zbMATH DE number 5033335 |
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Numerical solution of Hamilton–Jacobi–Bellman equations by an exponentially fitted finite volume method (English)
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16 June 2006
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Hamilton-Jacobi-Bellman equation
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optimal feedback control problem
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Euler finite difference scheme
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finite volume method
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stochastic control
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stability
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numerical experiments
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\(M\)-matrix
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