A Narrow-stencil Finite Difference Method for Approximating Viscosity Solutions of Hamilton--Jacobi--Bellman Equations

DOI10.1137/19M1296483zbMath1468.65174OpenAlexW3143829609MaRDI QIDQ4986815

Xiaobing Feng, Thomas Lewis

Publication date: 28 April 2021

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/19m1296483

zbMATH Keywords

Hamilton-Jacobi-Bellman equationsfinite difference methodsviscosity solutionsgeneralized monotonicityfully nonlinear PDEsnumerical momentnumerical operators

Mathematics Subject Classification ID

Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Finite difference methods for boundary value problems involving PDEs (65N06) Hamilton-Jacobi equations (35F21)

Related Items (5)

Dual-wind discontinuous Galerkin methods for stationary Hamilton-Jacobi equations and regularized Hamilton-Jacobi equations ⋮ A narrow-stencil framework for convergent numerical approximations of fully nonlinear second order PDEs ⋮ Monotone meshfree methods for linear elliptic equations in non-divergence form via nonlocal relaxation ⋮ Numerical methods for fully nonlinear and related PDEs. Abstracts from the workshop held June 27 -- July 3, 2021 (hybrid meeting) ⋮ Convergence, stability analysis, and solvers for approximating sublinear positone and semipositone boundary value problems using finite difference methods

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