2 papers
math.NA2021
A novel high dimensional fitted scheme for stochastic optimal control problems
Christelle Dleuna Nyoumbi, Antoine Tambue
Stochastic optimal principle leads to the resolution of a partial differential equation (PDE), namely the Hamilton-Jacobi-Bellman (HJB) equation. In general, this equation cannot b…
math.NA2020
A fitted finite volume method for stochastic optimal control Problems
Christelle Dleuna Nyoumbi, Antoine Tambue
In this article, we provide a numerical method based on fitted finite volume method to approximate the Hamilton-Jacobi-Bellman (HJB) equation coming from stochastic optimal control…