Error estimates for second order Hamilton-Jacobi-Bellman equations. Approximation of probabilistic reachable sets

DOI10.3934/dcds.2015.35.3933zbMath1332.65133OpenAlexW2320563143MaRDI QIDQ255791

Hasnaa Zidani, Mohamed Assellaou, Olivier Bokanowski

Publication date: 9 March 2016

Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcds.2015.35.3933

zbMATH Keywords

numerical approximationchance constraintserror estimates for HJB equationslevel-set approachstochastic reachability analysisunbounded and discontinuous value function

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (3)

High-order filtered schemes for time-dependent second order HJB equations ⋮ On the Rate of Convergence for Monotone Numerical Schemes for Nonlocal Isaacs Equations ⋮ State-Constrained Stochastic Optimal Control Problems via Reachability Approach

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