1. From A Monotone Probabilistic Scheme To A Probabilistic Max-Plus Algorithm For Solving Hamilton–Jacobi–Bellman Equations

DOI10.1515/9783110543599-001zbMath1407.65236arXiv1709.09049OpenAlexW4214539853MaRDI QIDQ4557471

Marianne Akian, Eric Fodjo

Publication date: 23 November 2018

Published in: Hamilton-Jacobi-Bellman Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.09049

zbMATH Keywords

stochastic controlHamilton-Jacobi-Bellman equationsprobabilistic schemesmax-plus numerical methodstropical methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Dynamic programming in optimal control and differential games (49L20) Control/observation systems governed by partial differential equations (93C20) Optimal stochastic control (93E20) Numerical solutions to stochastic differential and integral equations (65C30) Discrete approximations in optimal control (49M25) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

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