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.