57 citations · 61 across the 14 of their papers we have counts for
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A Semi-Lagrangian scheme for Hamilton-Jacobi-Bellman equations with Dirichlet boundary conditions
Elisabetta Carlini, Athena Picarelli, Francisco J. Silva
We study the numerical approximation of time-dependent, possibly degenerate, second-order Hamilton-Jacobi-Bellman equations in bounded domains with nonhomogeneous Dirichlet boundar…
Stability and convergence of second order backward differentiation schemes for parabolic Hamilton-Jacobi-Bellman equations
Olivier Bokanowski, Athena Picarelli, Christoph Reisinger
We study a second order BDF (Backward Differentiation Formula) scheme for the numerical approximation of parabolic HJB (Hamilton-Jacobi-Bellman) equations. The scheme under conside…
Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains
Athena Picarelli, Christoph Reisinger, Julen Rotaetxe Arto
We study the approximation of parabolic Hamilton-Jacobi-Bellman (HJB) equations in bounded domains with strong Dirichlet boundary conditions. We work under the assumption of the ex…
High-order filtered schemes for time-dependent second order HJB equations
Olivier Bokanowski, Athena Picarelli, Christoph Reisinger
In this paper, we present and analyse a class of "filtered" numerical schemes for second order Hamilton-Jacobi-Bellman equations. Our approach follows the ideas introduced in B.D.…
A patchy Dynamic Programming scheme for a class of Hamilton-Jacobi-Bellman equations
Simone Cacace, Emiliano Cristiani, Maurizio Falcone +1
In this paper we present a new algorithm for the solution of Hamilton-Jacobi-Bellman equations related to optimal control problems. The key idea is to divide the domain of computat…