Semi Lagrangian Schemes for Parabolic HJB Equations
Master thesis
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http://hdl.handle.net/11250/258271Utgivelsesdato
2009Metadata
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Sammendrag
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.