Optimal soaring via Hamilton-Jacobi-Bellman equations

DOI10.1002/oca.2122zbMath1331.93220OpenAlexW2314761391MaRDI QIDQ3459281

Robert Almgren, Agnès Tourin

Publication date: 21 December 2015

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/oca.2122

zbMATH Keywords

variational inequalitiesstochastic controlHamilton-Jacobi equationsfinite differencemonotone approximationglider flying

Mathematics Subject Classification ID

Variational inequalities (49J40) Optimal stochastic control (93E20) Finite difference and finite volume methods for ordinary differential equations (65L12)

Related Items (1)

Primal-dual methods for the computation of trading regions under proportional transaction costs

Cites Work

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• Optimal stochastic control, stochastic target problems, and backward SDE.
• Existence of viscosity solutions of Hamilton-Jacobi equations
• Numerical schemes for investment models with singular transactions
• Two approximations of solutions of Hamilton-Jacobi equations
• CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY

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