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 Events
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

Abstract

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.
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Tue 5 Sep 2017, 4:30pm SPECIAL
MATH 125
Department Graduate Orientation
MATH 125
Tue 5 Sep 2017, 4:30pm-6:00pm

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CINVESTAV
Wed 20 Sep 2017, 3:15pm
Topology and related seminars
ESB 4133 (PIMS Lounge)
TBA
ESB 4133 (PIMS Lounge)
Wed 20 Sep 2017, 3:15pm-4:15pm

Abstract


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Yaniv Plan
UBC
Fri 17 Nov 2017, 3:00pm SPECIAL
ESB 2012
PIMS-UBC Distinguished Colloquium--TBA (for PIMS UBC Math Sciences prize)
ESB 2012
Fri 17 Nov 2017, 3:00pm-4:00pm

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Syvia Serfaty
Courant Institute, NYU
Fri 1 Dec 2017, 3:00pm SPECIAL
Department Colloquium
ESB 2012
PIMS-UBC Distinguished Colloquium--TBA
ESB 2012
Fri 1 Dec 2017, 3:00pm-4:00pm

Abstract

 
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Umberto Zannier
SNS, Pisa
Fri 2 Mar 2018, 3:00pm SPECIAL
Department Colloquium
ESB2012
PIMS-UBC Distinguished Colloquium--TBA
ESB2012
Fri 2 Mar 2018, 3:00pm-4:00pm

Abstract

 

Note for Attendees

Refreshments will be served in ESB 4133 from 2:45 p.m.-3:00 p.m.
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University of Oxford
Fri 6 Apr 2018, 3:00pm
Department Colloquium
ESB 2012
PIMS-UBC Distinguished Colloquium--TBA
ESB 2012
Fri 6 Apr 2018, 3:00pm-4:00pm

Abstract

 
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