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A New Scheme for Discrete HJB Equations

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In this paper we propose a relaxation scheme for solving discrete HJB equations based on scheme II [1] of Lions and Mercier. The convergence of the new scheme has been established. Numerical example shows that the scheme is efficient.
Cite this paper
Zou, Z. (2014) A New Scheme for Discrete HJB Equations. Applied Mathematics, 5, 2643-2649. doi: 10.4236/am.2014.517252. 
 

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[9] Zhou, S.Z. and Chen, G.H. (2005) A Monotone Iterative Algorithm for a Discrete HJB Equation. Mathematica Applicata, 18, 639-643. (in Chinese)
[10] Zhou, S.Z. and Zhan, W.P. (2003) A New Domain Decomposition Method for an HJB Equation. Journal of Computational and Applied Mathematics, 159, 195-204.
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[11] Zhou, S.Z. and Zou, Z.Y. (2008) An Itetative Algorithm for a Quasivariational Inequality System Related to HJB Equation. Journal of Computational and Applied Mathematics, 219, 1-8.
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[13] Zhou, S.Z. and Zou, Z.Y. (2007) A Relaxation Scheme for Hamilton-Jacobi-Bellman Equations. Applied Mathematics and Computation, 186, 806-813.
http://dx.doi.org/10.1016/j.amc.2006.08.025               eww141013lx
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