Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains
We study parabolic Hamilton-Jacobi-Bellman (HJB) equations in bounded domains with strong Dirichlet boundary conditions. We work under the assumption of the existence of a sufficiently regular barrier function for the problem to obtain well-posedness and regularity of a related switching system and...
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| Format: | Journal article |
| Language: | English |
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Elsevier
2019
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| _version_ | 1826274973576069120 |
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| author | Picarelli, A Reisinger, C Rotaetxe Arto, J |
| author_facet | Picarelli, A Reisinger, C Rotaetxe Arto, J |
| author_sort | Picarelli, A |
| collection | OXFORD |
| description | We study parabolic Hamilton-Jacobi-Bellman (HJB) equations in bounded domains with strong Dirichlet boundary conditions. We work under the assumption of the existence of a sufficiently regular barrier function for the problem to obtain well-posedness and regularity of a related switching system and the convergence of its components to the HJB equation. In particular, we show existence of a viscosity solution to the switching system by a novel construction of sub- and supersolutions and application of Perron's method. Error bounds for monotone schemes for the HJB equation are then derived from estimates near the boundary, where the standard regularisation procedure for viscosity solutions is not applicable, and are found to be of the same order as known results for the whole space. We deduce error bounds for some common finite difference and truncated semi-Lagrangian schemes.
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| first_indexed | 2024-03-06T22:51:38Z |
| format | Journal article |
| id | oxford-uuid:5efbb6cb-a81d-4a7c-bcbe-fc6254a58457 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T22:51:38Z |
| publishDate | 2019 |
| publisher | Elsevier |
| record_format | dspace |
| spelling | oxford-uuid:5efbb6cb-a81d-4a7c-bcbe-fc6254a584572022-03-26T17:44:03ZSome regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domainsJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:5efbb6cb-a81d-4a7c-bcbe-fc6254a58457EnglishSymplectic Elements at OxfordElsevier2019Picarelli, AReisinger, CRotaetxe Arto, JWe study parabolic Hamilton-Jacobi-Bellman (HJB) equations in bounded domains with strong Dirichlet boundary conditions. We work under the assumption of the existence of a sufficiently regular barrier function for the problem to obtain well-posedness and regularity of a related switching system and the convergence of its components to the HJB equation. In particular, we show existence of a viscosity solution to the switching system by a novel construction of sub- and supersolutions and application of Perron's method. Error bounds for monotone schemes for the HJB equation are then derived from estimates near the boundary, where the standard regularisation procedure for viscosity solutions is not applicable, and are found to be of the same order as known results for the whole space. We deduce error bounds for some common finite difference and truncated semi-Lagrangian schemes. |
| spellingShingle | Picarelli, A Reisinger, C Rotaetxe Arto, J Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains |
| title | Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains |
| title_full | Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains |
| title_fullStr | Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains |
| title_full_unstemmed | Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains |
| title_short | Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains |
| title_sort | some regularity and convergence results for parabolic hamilton jacobi bellman equations in bounded domains |
| work_keys_str_mv | AT picarellia someregularityandconvergenceresultsforparabolichamiltonjacobibellmanequationsinboundeddomains AT reisingerc someregularityandconvergenceresultsforparabolichamiltonjacobibellmanequationsinboundeddomains AT rotaetxeartoj someregularityandconvergenceresultsforparabolichamiltonjacobibellmanequationsinboundeddomains |