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math.NA2018★ 1 cited
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…
math.NA2018★ 3 cited
Backward Differentiation Formula finite difference schemes for diffusion equations with an obstacle term
Olivier Bokanowski, Kristian Debrabant
Finite difference schemes, using Backward Differentiation Formula (BDF), are studied for the approximation of one-dimensional diffusion equations with an obstacle term, of the form…