PENALTY METHODS FOR THE SOLUTION OF DISCRETE HJB EQUATIONS-CONTINUOUS CONTROL AND OBSTACLE PROBLEMS

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...

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Bibliografische gegevens
Hoofdauteurs:	Witte, J, Reisinger, C
Formaat:	Journal article
Taal:	English
Gepubliceerd in:	2012

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