High-order filtered schemes for time-dependent second order HJB equations
In this paper, we present and analyse a class of "filtered" numerical schemes for second order Hamilton-Jacobi-Bellman equations. Our approach follows the ideas introduced in B.D. Froese and A.M. Oberman, Convergent filtered schemes for the Monge-Amp\`ere partial differential equation, SIA...
| Main Authors: | , , |
|---|---|
| Format: | Journal article |
| Published: |
2016
|