Free Access
Volume 38, Number 4, July-August 2004
Page(s) 723 - 735
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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  4. J.F. Bonnans and H. Zidani, Consistency of generalized finite difference schemes for the stochastic HJB equation. SIAM J. Numer. Anal. 41 (2003) 1008–1021. [CrossRef] [MathSciNet]
  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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  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]
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