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A New Scheme for Discrete HJB Equations
School of Mathematics and Statistics, Guangdong University of Finance & Economics, Guangzhou, China
- 1 School of Mathematics and Statistics, Guangdong University of Finance & Economics, Guangzhou, China
Applied Mathematics·Volume 05 (2014)·Pages 2643–2649·Published 9 October 2014·DOI10.4236/am.2014.517252
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Abstract
In this paper we propose a relaxation scheme for solving discrete HJB equations based on scheme II [1] of Lions and Mercier. The convergence of the new scheme has been established. Numerical example shows that the scheme is efficient.
KeywordsIterative AlgorithmRelaxation SchemeHJB EquationConvergenceExistence
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