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Sun, M.

Domain decomposition algorithms for solving Hamilton-Jacobi-Bellman equations. (English) Zbl 0810.65065

Numer. Funct. Anal. Optimization 14, No. 1-2, 145-166 (1993).
A main obstacle in numerical solving Hamilton-Jacobi equations is the large dimension of the discretized problems. As an alternative, this paper presents some domain decomposition based algorithms, which are used to solve some Hamilton-Jacobi-Bellman equations arising in stochastic control problems.
Reviewer: D.Tătaru (Evaston)

Cited in 14 Documents

MSC:

65K10 Numerical optimization and variational techniques
65L05 Numerical methods for initial value problems involving ordinary differential equations
37-XX Dynamical systems and ergodic theory
93E25 Computational methods in stochastic control (MSC2010)
93E03 Stochastic systems in control theory (general)

Keywords:

domain decomposition; Hamilton-Jacobi-Bellman equations; stochastic control
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\textit{M. Sun}, Numer. Funct. Anal. Optim. 14, No. 1--2, 145--166 (1993; Zbl 0810.65065)
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