On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman equations

By Guy Barles, Espen Robstad Jakobsen. 2002

200 citations recorded by the source corpus.

Subfields: Computational Theory and Mathematics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/1a7b7dc9d24e933ec1c2665ebc7d7e520910967d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Computational Theory and Mathematics

1. Espen Robstad Jakobsen
2. Hongjie Dong
3. Emmanuel Chasseigne
4. Kenneth Hvistendahl Karlsen
5. Guy Barles
6. Nicolai V. Krylov
7. Imran H. Biswas
8. Ariela Briani

In Finance

1. Espen Robstad Jakobsen
2. Kenneth Hvistendahl Karlsen
3. Guy Barles
4. Imran H. Biswas
5. Emmanuel Chasseigne
6. Hongjie Dong
7. Nicolai V. Krylov
8. Enrico Valdinoci

In Management Science and Operations Research

1. Espen Robstad Jakobsen
2. Kenneth Hvistendahl Karlsen
3. Nicolai V. Krylov
4. Hongjie Dong

Citations in the corpus

• The Rate of Convergence of Finite-Difference Approximations for Parabolic Bellman Equations with Lipschitz Coefficients in Cylindrical Domains (2007, result): “We refer to [ 2 ] and [3] and the references therein for discussion of what is achieved in this direction.”
• A Bellman approach for two-domains optimal control problems in R N (2011, background): “L Lions [22] or Barles & Jakobsen [6].”
• CONTINUOUS DEPENDENCE ESTIMATES FOR VISCOSITY SOLUTIONS OF INTEGRO-PDES (2005, unknown): “The case of numerical methods is more difficult and some of the first results in that direction for the pure PDE version of the convex Bellman equation can be found in [7, 8, 32, 38].”
• Viscosity Solutions for a System of Integro-PDEs and Connections to Optimal Switching and Control of Jump-Diffusion Processes (2010, background): “This is a difficult problem that remained open for a long time before the works of Krylov[32, 33, 34] and Barles & Jakobsen [8, 9, 10].”
• A “maximum principle for semicontinuous functions” applicable to integro-partial differential equations (2006, background): “, [7]), or for proving semi-concavity of viscosity solutions (see, e.”
• Stochastic Optimal Control and Linear Programming Approach (2011, unknown): “6 in Barles, Jakobsen [1].”
• ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS (2003, methodology): “• We treat a larger class of monotone schemes (as in [1]) which includes control schemes.”