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Semi Lagrangian Schemes for Parabolic HJB Equations

Lian, Erik
Master thesis
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URI
http://hdl.handle.net/11250/258271
Date
2009
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  • Institutt for matematiske fag [1390]
Abstract
We study semi Lagrangian schemes for solving parabolic HJB equations. Efficient implementations using implicit time discretizations are presented. Iteration methods for solving linear systems and dealing with the non linearity are presented. Stability and convergence analysis is performed for both smooth and non smooth solutions. The schemes are extensively numerically tested in the linear and non linear cases.
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Institutt for matematiske fag

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