PENALTY METHODS FOR THE SOLUTION OF DISCRETE HJB EQUATIONS-CONTINUOUS CONTROL AND OBSTACLE PROBLEMS
In this paper, we present a novel penalty approach for the numerical solution of continuously controlled HJB equations and HJB obstacle problems. Our results include estimates of the penalization error for a class of penalty terms, and we show that variations of Newton's method can be used to o...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2012
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