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has been cited by the following article:
TITLE: A New Scheme for Discrete HJB Equations
AUTHORS: Zhanyong Zou
KEYWORDS: Iterative Algorithm, Relaxation Scheme, HJB Equation, Convergence, Existence
JOURNAL NAME: Applied Mathematics, Vol.5 No.17, October 9, 2014
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.