Modified domain decomposition method for Hamilton-Jacobi-Bellman equations

DOI10.1007/s10483-010-1386-8zbMath1209.65131OpenAlexW2081466792MaRDI QIDQ616035

Guangming Chen, Guanghua Chen, Zhi-hua Dai

Publication date: 7 January 2011

Published in: Applied Mathematics and Mechanics. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10483-010-1386-8

zbMATH Keywords

optimal controlconvergencevariational inequalitiesnumerical resultsparallel computationHamilton-Jacobi-Bellman equationsdomain decomposition methodsecond order elliptic equationsGauss-Seidel type iteration

Mathematics Subject Classification ID

Multigrid methods; domain decomposition for boundary value problems involving PDEs (65N55) Numerical computation of solutions to systems of equations (65H10) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Parallel numerical computation (65Y05) Hamilton-Jacobi equations (35F21) Numerical methods for variational inequalities and related problems (65K15)

Cites Work

• An iterative algorithm for a quasivariational inequality system related to HJB equation
• Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
• Multi-grid methods for Hamilton-Jacobi-Bellman equations
• A new domain decomposition method for an HJB equation.
• Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
• Domain decomposition algorithms for solving hamilton-jacobi-bellman equations
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
• The finite element approximation of Hamilton-Jacobi-Bellman equations
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