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hamilton-jacobi-bellman 1markov chain approximation 1network diffusion 1semi-lagrangian scheme 1sticky diffusion 1viscosity solutions 1

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math.NA2026

Markov Chain Approximation of Sticky Diffusions and Hamilton-Jacobi-Bellman Equations on Networks

Alessio Basti, Jules Berry, Fabio Camilli

The paper introduces a discrete Markov‑chain method to approximate diffusions on networks with Kirchhoff and sticky vertex conditions, proves its convergence, and uses it to build…