Multigrid Methods for Second Order Hamilton--Jacobi--Bellman and Hamilton--Jacobi--Bellman--Isaacs Equations

DOI10.1137/120881476zbMath1281.65128OpenAlexW1991799089MaRDI QIDQ2870693

Dong Han, Justin W. L. Wan

Publication date: 21 January 2014

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/120881476

zbMATH Keywords

numerical examplesoption pricingHamilton-Jacobi-Bellman equationsmultigrid methodsinterpolation methodpolicy iterationrelaxation schemecoarse grid correctionrestriction methodfull approximation schemeHamilton-Jacobi-Bellman-Isaacs equationsjump in control

Mathematics Subject Classification ID

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