The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
This paper analyses the implementation of the generalized finite differences method for the HJB equation of stochastic control, introduced by two of the authors in [Bonnans and Zidani, SIAM J. Numer. Anal. 41 (2003) 1008–1021]. The computation of coefficients needs to solve at each point of the grid (and for each control) a linear programming problem. We show here that, for two dimensional problems, this linear programming problem can be solved in operations, where is the size of the stencil....
This paper analyses the implementation of the generalized
finite differences method for the HJB equation of
stochastic control, introduced by two of the authors in
[Bonnans and Zidani,
(2003) 1008–1021]. The computation of coefficients needs to
solve at each point of the grid (and for each control)
a linear programming problem.
We show here that, for two dimensional problems, this
linear programming problem can be solved in
operations, where
...
Download Results (CSV)