Geodesic
Some non monotone schemes for Hamilton-Jacobi-Bellman equations
Xavier Warin1
1 EDF R&D & FiME, Laboratoire de Finance des Marchés de l’Energie
ESAIM. Proceedings, Tome 65 (2019), pp. 476-497.

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We extend the theory of Barles Jakobsen [3] for a class of almost monotone 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 by the framework developed are not tight. At last we test the schemes.
DOI : 10.1051/proc/201965476

Xavier Warin 1

1 EDF R&D & FiME, Laboratoire de Finance des Marchés de l’Energie 
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     title = {Some non monotone schemes for {Hamilton-Jacobi-Bellman} equations},
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Xavier Warin. Some non monotone schemes for Hamilton-Jacobi-Bellman equations. ESAIM. Proceedings, Tome 65 (2019), pp. 476-497. doi : 10.1051/proc/201965476. http://geodesic.mathdoc.fr/articles/10.1051/proc/201965476/

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