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High-order filtered schemes for time-dependent second order HJB equations

Abstract:

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. Froese and A.M. Oberman, Convergent filtered schemes for the Monge-Amp\`ere partial differential equation, SIAM J. Numer. Anal., 51(1):423--444, 2013, and more recently applied by other authors to stationary or time-dependent first order Hamilton-Jacobi equations. For high order approximation schemes (where "high" s...

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Publication status:
Not published
Peer review status:
Not peer reviewed
Version:
Author's Original

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Institution:
University of Oxford
Department:
Oxford, MPLS, Mathematical Institute
Role:
Author
More by this author
Institution:
University of Oxford
Department:
Oxford, MPLS, Mathematical Institute
Role:
Author
Publication date:
2016-11-15
Pubs id:
pubs:661750
URN:
uri:075bb637-99ca-445e-acde-1326c26c9292
UUID:
uuid:075bb637-99ca-445e-acde-1326c26c9292
Local pid:
pubs:661750

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