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Consistency of generalized finite difference schemes for the stochastic HJB equation. (English) Zbl 1130.49307

MSC:
49M25 Discrete approximations in optimal control
49L25 Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
65N06 Finite difference methods for boundary value problems involving PDEs
93E20 Optimal stochastic control
Software:
Qhull
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