Semi Lagrangian Schemes for Parabolic HJB Equations

dc.contributor.advisor	Robstad Jakobsen, Espen	nb_NO
dc.contributor.author	Lian, Erik	nb_NO
dc.date.accessioned	2014-12-19T13:57:37Z
dc.date.available	2014-12-19T13:57:37Z
dc.date.created	2010-09-02	nb_NO
dc.date.issued	2009	nb_NO
dc.identifier	347167	nb_NO
dc.identifier	ntnudaim:4577	nb_NO
dc.identifier.uri	http://hdl.handle.net/11250/258271
dc.description.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.	nb_NO
dc.language	eng	nb_NO
dc.publisher	Institutt for matematiske fag	nb_NO
dc.subject	ntnudaim	no_NO
dc.subject	SIF3 fysikk og matematikk	no_NO
dc.subject	Industriell matematikk	no_NO
dc.title	Semi Lagrangian Schemes for Parabolic HJB Equations	nb_NO
dc.type	Master thesis	nb_NO
dc.source.pagenumber	58	nb_NO
dc.contributor.department	Norges teknisk-naturvitenskapelige universitet, Fakultet for informasjonsteknologi, matematikk og elektroteknikk, Institutt for matematiske fag	nb_NO