Convergence of Implicit Schemes for Hamilton--Jacobi--Bellman Quasi-Variational Inequalities

DOI10.1137/18M1171965zbMath1405.49021arXiv1705.02922OpenAlexW2788545836WikidataQ128911339 ScholiaQ128911339MaRDI QIDQ4554791

Erhan Bayraktar, Parsiad Azimzadeh, George Labahn

Publication date: 9 November 2018

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.02922

zbMATH Keywords

viscosity solutionimpulse controlHamilton-Jacobi-Bellman quasi-variational inequality (HJBQVI)implicit numerical schemes

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Impulsive optimal control problems (49N25)

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