Read full paper at: http://www.scirp.org/journal/PaperInformation.aspx?PaperID=50345#.VDskClfHRK1 Author(s) Zhanyong Zou Affiliation(s) School of Mathematics and Statistics, Guangdong University of Finance & Economics, Guangzhou, China . ABSTRACT 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. KEYWORDS Iterative Algorithm , Relaxation Scheme , HJB Equation , Convergence , Existence Cite this paper Zou, Z. ...
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