Boundary treatment and multigrid preconditioning for semi-Lagrangian schemes applied to Hamilton-Jacobi-Bellman equations

We analyse two practical aspects that arise in the numerical solution of HamiltonJacobi-Bellman (HJB) equations by a particular class of monotone approximation schemes known as semi-Lagrangian schemes. These schemes make use of a wide stencil to achieve convergence and result in discretization matri...