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math.NA2015★ 47 cited
Weakly chained matrices, policy iteration, and impulse control
Parsiad Azimzadeh, Peter A. Forsyth
This work is motivated by numerical solutions to Hamilton-Jacobi-Bellman quasi-variational inequalities (HJBQVIs) associated with combined stochastic and impulse control problems.…
math.NA2015
Piecewise Constant Policy Approximations to Hamilton-Jacobi-Bellman Equations
Christoph Reisinger, Peter Forsyth
An advantageous feature of piecewise constant policy timestepping for Hamilton-Jacobi-Bellman (HJB) equations is that different linear approximation schemes, and indeed different m…