Some non monotone schemes for Hamilton-Jacobi-Bellman equations

Some non monotone schemes for Hamilton-Jacobi-Bellman equations

Blog Article

We extend the theory of Barles Jakobsen [3] for a class of almost monotone Toys schemes to solve stationary Hamilton Jacobi Bellman equations.We show that the monotonicity of the schemes can be relaxed still leading to the convergence to the viscosity solution of the equation even if the discrete problem can only be solved with some error.We give some examples of such numerical schemes and show that the bounds obtained Mens Socks by the framework developed are not tight.At last we test the schemes.