K. Debrabant and E. Jakobsen, Semi-lagrangian schemes for linear and fully nonlinear diusion equations, Mathematics of Computation, vol.82, issue.283, p.14331462, 2013.

M. Falcone and R. Ferretti, Semi-Lagrangian approximation schemes for linear and Hamilton-Jacobi equations, 2013.
DOI : 10.1137/1.9781611973051

URL : https://hal.archives-ouvertes.fr/hal-00916055

H. Kushner, G. Paul, and . Dupuis, Numerical methods for stochastic control problems in continuous time, 2013.

H. Pham, Continuous-time stochastic control and optimization with nancial applications, 2009.