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A New Scheme for Discrete HJB Equations

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DOI: 10.4236/am.2014.517252    2,891 Downloads   3,528 Views   Citations
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In this paper we propose a relaxation scheme for solving discrete HJB equations based on scheme II [1] of Lions and Mercier. The convergence of the new scheme has been established. Numerical example shows that the scheme is efficient.

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The authors declare no conflicts of interest.

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Zou, Z. (2014) A New Scheme for Discrete HJB Equations. Applied Mathematics, 5, 2643-2649. doi: 10.4236/am.2014.517252.


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