Faculty of Mathematics, TU Chemnitz, Germany

Tue 25 Jul 2017, 12:30pm
Scientific Computation and Applied & Industrial Mathematics
ESB 4133 (PIMS Lounge)

A semiLagrangian scheme for the solution of HamiltonJacobiBellman equations

ESB 4133 (PIMS Lounge)
Tue 25 Jul 2017, 12:30pm1:30pm
Abstract
HamiltonJacobiBellman (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 nonexisting secondorder derivatives. In this presentation we focus on the discretization of HJB equations with a fully implicit timestepping scheme based on a semiLagrangian approach. We discuss the algorithmic idea in the context of a finite difference approximation and present numerical examples.
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