A New Scheme for Discrete HJB Equations

• 作者: Zhanyong Zou
• 来源期刊: 应用数学(英文)
• 学科: 数学
• 关键词: ITERATIVE Algorithm RELAXATION SCHEME HJB Equation CONVERGENCE EXISTENCE
• 年，卷（期）: 2014,（17）
• 页码范围: 2643-2649
• 页数: 7页
• 分类号: O1

摘要

In this paper we propose a relaxation scheme for solving discrete HJB equations based on scheme II [1] of Lions and Mercier. The convergence of the new scheme has been established. Numerical example shows that the scheme is efficient.