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Jan Blechschmidt
Faculty of Mathematics, TU Chemnitz, Germany
Tue 25 Jul 2017, 12:30pm
Scientific Computation and Applied & Industrial Mathematics
ESB 4133 (PIMS Lounge)
A semi-Lagrangian scheme for the solution of Hamilton-Jacobi-Bellman equations
ESB 4133 (PIMS Lounge)
Tue 25 Jul 2017, 12:30pm-1:30pm


Hamilton-Jacobi-Bellman (HJB) equations are nonlinear partial differential equation that arise as optimality conditions of stochastic control problems. HJB equations often possess a variety of difficulties, e.g., discontinuous coefficients, vanishing viscosity, unknown boundary conditions, etc. One particular issue is the handling of non-existing second-order derivatives. In this presentation we focus on the discretization of HJB equations with a fully implicit timestepping scheme based on a semi-Lagrangian approach. We discuss the algorithmic idea in the context of a finite difference approximation and present numerical examples.