Stability and convergence of second order backward differentiation schemes for parabolic Hamilton–Jacobi–Bellman equations
We study a second order Backward Differentiation Formula (BDF) scheme for the numerical approximation of linear parabolic equations and nonlinear Hamilton–Jacobi–Bellman (HJB) equations. The lack of monotonicity of the BDF scheme prevents the use of well-known convergence results for solutions in th...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Springer
2021
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