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Multigrid Methods for Second Order Hamilton--Jacobi--Bellman and Hamilton--Jacobi--Bellman--Isaacs Equations

✍ Scribed by Han, Dong; Wan, Justin W. L.

Book ID
127032486
Publisher
Society for Industrial and Applied Mathematics
Year
2013
Tongue
English
Weight
727 KB
Volume
35
Category
Article
ISSN
1064-8275

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Second order Hamilton–Jacobi–Bellman ine
Second order Hamilton–Jacobi–Bellman inequalities
✍ Adrian Zălinescu 📂 Article 📅 2002 🏛 Elsevier Science 🌐 English ⚖ 78 KB

This work is devoted to the study of a class of Hamilton-Jacobi-Bellman inequalities which come from an optimal control problem where the state equation is a stochastic variational inequality. We show that the value function, which minimizes the cost, is a viscosity solution of the studied equation.