منابع مشابه
A New Scheme for Discrete HJB Equations
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.
متن کاملA new numerical scheme for solving systems of integro-differential equations
This paper has been devoted to apply the Reconstruction of Variational Iteration Method (RVIM) to handle the systems of integro-differential equations. RVIM has been induced with Laplace transform from the variational iteration method (VIM) which was developed from the Inokuti method. Actually, RVIM overcome to shortcoming of VIM method to determine the Lagrange multiplier. So that, RVIM method...
متن کاملA new positive definite semi-discrete mixed finite element solution for parabolic equations
In this paper, a positive definite semi-discrete mixed finite element method was presented for two-dimensional parabolic equations. In the new positive definite systems, the gradient equation and flux equations were separated from their scalar unknown equations. Also, the existence and uniqueness of the semi-discrete mixed finite element solutions were proven. Error estimates were also obtaine...
متن کاملNonlinear HJB Equations
This paper is concerned with the standard finite element approximation of HamiltonJacobi-Bellman Equations (HJB) with nonlinear source terms. Under a realistic condition on the nonlinearity, we characterize the discrete solution as a fixed point of a contraction. As a result of this, we also derive a sharp L∞error estimate of the approximation. Mathematics Subject Classification: Primary 35F21;...
متن کاملHjb Equations for Certain Singularly Controlled Diffusions
over the admissible controls U . Both g and κ · u (u ∈ U) may take positive and negative values. This paper studies the corresponding dynamic programming equation (DPE), a second-order degenerate elliptic partial differential equation of HJB-type with a state constraint boundary condition. Under the controllability condition GU = R and the finiteness of H(q) = supu∈U1{−Gu · q− κ · u}, q ∈ R , w...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Applied Mathematics
سال: 2014
ISSN: 2152-7385,2152-7393
DOI: 10.4236/am.2014.517252