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

<p>We analyse two practical aspects that arise in the numerical solution of Hamilton-Jacobi-Bellman (HJB) equations by a particular class of monotone approximation schemes known as semi-Lagrangian schemes, namely boundary treatment and multigrid preconditioning. These schemes make use of a w...