Semi-Lagrangian schemes for Hamilton-Jacobi equations, discrete representation formulae and Godunov methods

By Maurizio Falcone, Roberto Ferretti. 2002

149 citations recorded by the source corpus.

Subfields: Applied Mathematics, Computational Mechanics, Modeling and Simulation

View Paper: https://www.semanticscholar.org/paper/d45ea313e8e6f6b571d99d987456673cf9860d73

Citations in the corpus

• Cooperative pursuit with Voronoi partitions (2016, unknown): “edu (Claire Tomlin) integrating backward from a known terminal condition, or via numerical approximation of the value function on a grid of the continuous state space [10, 13, 16, 21].”
• OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT (2013, unknown): “ time T. For (B), we use a monotonic explicit scheme à la Godunov, except at the boundaries (see below). For (C), we use a semi-Lagrangian method because it provides the optimal control directly (see [13] for more details on the classical numerical methods for HJB equations). Regarding the boundary ”