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A fast algorithm for the two dimensional HJB equation of stochastic control

J. Frédéric Bonnans, Élisabeth Ottenwaelter, Housnaa Zidani (2004)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

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 O ( p m a x ) operations, where p m a x is the size of the stencil....

A fast algorithm for the two dimensional HJB equation of stochastic control

J. Frédéric Bonnans, Élisabeth Ottenwaelter, Housnaa Zidani (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

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 O(pmax) operations, where pmax is the size of...

Abnormality of trajectory in sub-Riemannian structure

F. Pelletier, L. Bouche (1995)

Banach Center Publications

In the sub-Riemannian framework, we give geometric necessary and sufficient conditions for the existence of abnormal extremals of the Maximum Principle. We give relations between abnormality, C 1 -rigidity and length minimizing. In particular, in the case of three dimensional manifolds we show that, if there exist abnormal extremals, generically, they are locally length minimizing and in the case of four dimensional manifolds we exhibit abnormal extremals which are not C 1 -rigid and which can be minimizing...

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