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A New Scheme for Discrete HJB Equations

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DOI: 10.4236/am.2014.517252    2,854 Downloads   3,441 Views   Citations
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ABSTRACT

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.

Conflicts of Interest

The authors declare no conflicts of interest.

Cite this paper

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

References

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