Journal Articles Comptes Rendus. Mathématique Year : 2005

Consistency of a simple multidimensional scheme for Hamilton-Jacobi-Bellman equations

Remi Munos
  • Function : Author
Hasnaa Zidani

Abstract

This Note presents an approximation scheme for second-order Hamilton-Jacobi-Bellman equations arising in stochastic optimal control. The scheme is based on a Markov chain approximation method. It is easy to implement in any dimension. The consistency of the scheme is proved, which guarantees its convergence. To cite this article: R. Munos, H. Zidani, C. R. Acad. Sci. Paris, Ser. I 340 (2005).

Dates and versions

hal-00983347 , version 1 (25-04-2014)

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Cite

Remi Munos, Hasnaa Zidani. Consistency of a simple multidimensional scheme for Hamilton-Jacobi-Bellman equations. Comptes Rendus. Mathématique, 2005, 340 (7), pp.499-502. ⟨10.1016/j.crma.2005.02.001⟩. ⟨hal-00983347⟩

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