The finite element approximation of Hamilton--Jacobi--Bellman equations: The noncoercive case

DOI10.1016/j.amc.2003.10.002zbMath1064.65049OpenAlexW2059850874MaRDI QIDQ702569

D. Kharzeev

Publication date: 17 January 2005

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2003.10.002

zbMATH Keywords

convergenceHamilton-Jacobi-Bellman equationfinite elementerror estimatequasi-variational inequalitiesinverse monotonicity principles

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Variational inequalities (49J40) Newton-type methods (49M15)

Related Items (3)

A new proof for the existence and uniqueness of the discrete evolutionary HJB equations ⋮ The theta time scheme combined with a finite-element spatial approximation in the evolutionary Hamilton-Jacobi-Bellman equation with linear source terms ⋮ $L^{\infty}$ error estimate for a class of semilinear elliptic systems of quasi-variational inequalities

Cites Work

• Maximum principle and uniform convergence for the finite element method
• Sur l'Analyse Numérique des Equations de Hamilton-Jacobi-Bellman
• Optimal Stochastic Switching and the Dirichlet Problem for the Bellman Equation
• Optimal Control of Stochastic Integrals and Hamilton–Jacobi–Bellman Equations. I
• The finite element approximation of Hamilton-Jacobi-Bellman equations

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