Free access
Issue
ESAIM: M2AN
Volume 38, Number 4, July-August 2004
Page(s) 723 - 735
DOI http://dx.doi.org/10.1051/m2an:2004034
Published online 15 August 2004
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  2. G. Barles and E.R. Jakobsen, Error bounds for monotone approximation schemes for Hamilton-Jacobi-Bellman equations (to appear).
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  5. J.F. Bonnans, E. Ottenwaelter and H. Zidani, A fast algorithm for the two dimensional HJB equation of stochastic control. Technical report, INRIA (2004). Rapport de Recherche 5078.
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  10. N.V. Krylov, On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients. Probab. Theory Related Fields 117 (2000) 1–16. [CrossRef] [MathSciNet]
  11. H.J. Kushner, Probability methods for approximations in stochastic control and for elliptic equations. Academic Press, New York (1977). Math. Sci. Engrg. 129.
  12. H.J. Kushner and P.G. Dupuis, Numerical methods for stochastic control problems in continuous time. Springer, New York, Appl. Math. 24 (2001). Second edition.
  13. P.-L. Lions, Optimal control of diffusion processes and Hamilton-Jacobi-Bellman equations. Part 2: Viscosity solutions and uniqueness. Comm. Partial Differential Equations 8 (1983) 1229–1276. [CrossRef] [MathSciNet]
  14. P.-L. Lions and B. Mercier, Approximation numérique des équations de Hamilton-Jacobi-Bellman. RAIRO Anal. Numér. 14 (1980) 369–393. [MathSciNet]
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