Consistency of Generalized Finite Difference Schemes for the Stochastic HJB Equation

Abstract : We analyse a class of numerical schemes for solving the HJB equation for stochastic control problems, that generalizes the usual finite difference method. The latter is known to be monotonous, and hence valid, only if the scaled covariance matrix is diagonal dominant. We generalize this result by, given the set of neighbouring points allowed to enter in the scheme, showing how to compute the class of covariance matrices that is consistent with this set of points. We perform this computation for several cases in dimension 2 to 4.
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Submitted on : Wednesday, May 24, 2006 - 10:01:13 AM
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  • HAL Id : inria-00072460, version 1

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J. Frederic Bonnans, Hasnaa Zidani. Consistency of Generalized Finite Difference Schemes for the Stochastic HJB Equation. [Research Report] RR-4162, INRIA. 2001. ⟨inria-00072460⟩

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