A fast algorithm for the two dimensional HJB equation of stochastic control
Inria-Rocquencourt, Domaine de Voluceau, BP 105,
78153 Le Chesnay, France. Frederic.Bonnans@inria.fr.
2 IUT de Paris and Projet Sydoco, Inria-Rocquencourt, Domaine de Voluceau, BP 105, 78153 Le Chesnay, France. Elisabeth.Ottenwaelter@inria.fr.
3 Projet Sydoco, Inria-Rocquencourt and Unité de Mathématiques Appliquées, ENSTA, 32 Boulevard Victor, 75739 Paris Cedex 15, France. email@example.com.
Revised: 8 June 2004
This paper analyses the implementation of the generalized finite differences method for the HJB equation of stochastic control, introduced by two of the authors in [Bonnans and Zidani, SIAM J. Numer. Anal. 41 (2003) 1008–1021]. The computation of coefficients needs to solve at each point of the grid (and for each control) a linear programming problem. We show here that, for two dimensional problems, this linear programming problem can be solved in O(pmax) operations, where pmax is the size of the stencil. The method is based on a walk on the Stern-Brocot tree, and on the related filling of the set of positive semidefinite matrices of size two.
Mathematics Subject Classification: 49L99 / 93E20
Key words: Stochastic control / finite differences / viscosity solutions / consistency / HJB equation / Stern-Brocot tree.
© EDP Sciences, SMAI, 2004