Articles citing this article

The Citing articles tool gives a list of articles citing the current article.
The citing articles come from EDP Sciences database, as well as other publishers participating in CrossRef Cited-by Linking Program. You can set up your personal account to receive an email alert each time this article is cited by a new article (see the menu on the right-hand side of the abstract page).

Cited article:

Precise error bounds for numerical approximations of fractional HJB equations

Indranil Chowdhury and Espen R Jakobsen
IMA Journal of Numerical Analysis (2024)
https://doi.org/10.1093/imanum/drae030

Discretization of Fractional Fully Nonlinear Equations by Powers of Discrete Laplacians

Indranil Chowdhury, Espen R. Jakobsen and Robin Ø Lien
Dynamic Games and Applications (2024)
https://doi.org/10.1007/s13235-024-00601-7

Sixty Years of the Maximum Principle in Optimal Control: Historical Roots and Content Classification

Roman Chertovskih, Vitor Miguel Ribeiro, Rui Gonçalves and António Pedro Aguiar
Symmetry 16 (10) 1398 (2024)
https://doi.org/10.3390/sym16101398

A Neural Network Approach for Stochastic Optimal Control

Xingjian Li, Deepanshu Verma and Lars Ruthotto
SIAM Journal on Scientific Computing 46 (5) C535 (2024)
https://doi.org/10.1137/23M155832X

Implicit and Fully Discrete Approximation of the Supercooled Stefan Problem in the Presence of Blow-Ups

Christa Cuchiero, Christoph Reisinger and Stefan Rigger
SIAM Journal on Numerical Analysis 62 (3) 1145 (2024)
https://doi.org/10.1137/22M1509722

Analysis of a Narrow-Stencil Finite Difference Method for Approximating Viscosity Solutions of Fully Nonlinear Second Order Parabolic PDEs

Xiang Zhong and Weifeng Qiu
Journal of Scientific Computing 99 (3) (2024)
https://doi.org/10.1007/s10915-024-02544-y

A high-order scheme for mean field games

Elisa Calzola, Elisabetta Carlini and Francisco J. Silva
Journal of Computational and Applied Mathematics 445 115769 (2024)
https://doi.org/10.1016/j.cam.2024.115769

A scheme for the game p-Laplacian and its application to image inpainting

Elisabetta Carlini and Silvia Tozza
Applied Mathematics and Computation 461 128299 (2024)
https://doi.org/10.1016/j.amc.2023.128299

On Numerical Approximations of Fractional and Nonlocal Mean Field Games

Indranil Chowdhury, Olav Ersland and Espen R. Jakobsen
Foundations of Computational Mathematics 23 (4) 1381 (2023)
https://doi.org/10.1007/s10208-022-09572-w

A semi-Lagrangian scheme for Hamilton–Jacobi–Bellman equations with oblique derivatives boundary conditions

Elisa Calzola, Elisabetta Carlini, Xavier Dupuis and Francisco J. Silva
Numerische Mathematik 153 (1) 49 (2023)
https://doi.org/10.1007/s00211-022-01336-6

Incentives, lockdown, and testing: from Thucydides’ analysis to the COVID-19 pandemic

Emma Hubert, Thibaut Mastrolia, Dylan Possamaï and Xavier Warin
Journal of Mathematical Biology 84 (5) (2022)
https://doi.org/10.1007/s00285-022-01736-0

Numerical Approximation of a System of Hamilton–Jacobi–Bellman Equations Arising in Innovation Dynamics

L’ubomír Baňas, Herbert Dawid, Tsiry Avisoa Randrianasolo, Johannes Storn and Xingang Wen
Journal of Scientific Computing 92 (2) (2022)
https://doi.org/10.1007/s10915-022-01892-x

Hybrid control for optimal visiting problems for a single player and for a crowd

Fabio Bagagiolo, Adriano Festa and Luciano Marzufero
Nonlinear Differential Equations and Applications NoDEA 29 (1) (2022)
https://doi.org/10.1007/s00030-021-00737-0

Discontinuous Galerkin and C0-IP finite element approximation of periodic Hamilton–Jacobi–Bellman–Isaacs problems with application to numerical homogenization

Ellya L. Kawecki and Timo Sprekeler
ESAIM: Mathematical Modelling and Numerical Analysis 56 (2) 679 (2022)
https://doi.org/10.1051/m2an/2022017

Optimal management of pumped hydroelectric production with state constrained optimal control

Athena Picarelli and Tiziano Vargiolu
Journal of Economic Dynamics and Control 126 103940 (2021)
https://doi.org/10.1016/j.jedc.2020.103940

Second Order Fully Semi-Lagrangian Discretizations of Advection-Diffusion-Reaction Systems

Luca Bonaventura, Elisa Calzola, Elisabetta Carlini and Roberto Ferretti
Journal of Scientific Computing 88 (1) (2021)
https://doi.org/10.1007/s10915-021-01518-8

Mixed Finite Element Approximation of Periodic Hamilton--Jacobi--Bellman Problems With Application to Numerical Homogenization

Dietmar Gallistl, Timo Sprekeler and Endre Süli
Multiscale Modeling & Simulation 19 (2) 1041 (2021)
https://doi.org/10.1137/20M1371397

Error Estimates for Numerical Approximation of Hamilton–Jacobi Equations Related to Hybrid Control Systems

R. Ferretti, A. Sassi and H. Zidani
Applied Mathematics & Optimization 83 (1) 139 (2021)
https://doi.org/10.1007/s00245-018-9515-8

Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems

Athena Picarelli and Christoph Reisinger
Computers & Mathematics with Applications 79 (7) 2099 (2020)
https://doi.org/10.1016/j.camwa.2019.12.010

Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains

Athena Picarelli, Christoph Reisinger and Julen Rotaetxe Arto
Journal of Differential Equations 268 (12) 7843 (2020)
https://doi.org/10.1016/j.jde.2019.11.081

Optimal Route Planning for Sailing Boats: A Hybrid Formulation

Roberto Ferretti and Adriano Festa
Journal of Optimization Theory and Applications 181 (3) 1015 (2019)
https://doi.org/10.1007/s10957-019-01506-x

Robust Numerical Methods for Nonlocal (and Local) Equations of Porous Medium Type. Part I: Theory

Felix del Teso, Jørgen Endal and Espen R. Jakobsen
SIAM Journal on Numerical Analysis 57 (5) 2266 (2019)
https://doi.org/10.1137/19M1237041

Mixed Finite Element Approximation of the Hamilton--Jacobi--Bellman Equation with Cordes Coefficients

Dietmar Gallistl and Endre Süli
SIAM Journal on Numerical Analysis 57 (2) 592 (2019)
https://doi.org/10.1137/18M1192299

Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems

Espen R. Jakobsen, Athena Picarelli and Christoph Reisinger
Electronic Communications in Probability 24 (none) (2019)
https://doi.org/10.1214/19-ECP256

Discrete ABP Estimate and Convergence Rates for Linear Elliptic Equations in Non-divergence Form

Ricardo H. Nochetto and Wujun Zhang
Foundations of Computational Mathematics 18 (3) 537 (2018)
https://doi.org/10.1007/s10208-017-9347-y

Robust Numerical Methods for Nonlocal (and Local) Equations of Porous Medium Type. Part II: Schemes and Experiments

Félix del Teso, Jørgen Endal and Espen R. Jakobsen
SIAM Journal on Numerical Analysis 56 (6) 3611 (2018)
https://doi.org/10.1137/18M1180748

Infinite Horizon Stochastic Optimal Control Problems with Running Maximum Cost

Axel Kröner, Athena Picarelli and Hasnaa Zidani
SIAM Journal on Control and Optimization 56 (5) 3296 (2018)
https://doi.org/10.1137/17M115253X

On the Discretization of Some Nonlinear Fokker--Planck--Kolmogorov Equations and Applications

Elisabetta Carlini and Francisco J. Silva
SIAM Journal on Numerical Analysis 56 (4) 2148 (2018)
https://doi.org/10.1137/17M1143022

Two Approaches to Stochastic Optimal Control Problems with a Final-Time Expectation Constraint

Laurent Pfeiffer
Applied Mathematics & Optimization 77 (2) 377 (2018)
https://doi.org/10.1007/s00245-016-9378-9

A fully semi-Lagrangian discretization for the 2D incompressible Navier–Stokes equations in the vorticity-streamfunction formulation

Luca Bonaventura, Roberto Ferretti and Lorenzo Rocchi
Applied Mathematics and Computation 323 132 (2018)
https://doi.org/10.1016/j.amc.2017.11.030

A Semi-Lagrangian Scheme for a Modified Version of the Hughes’ Model for Pedestrian Flow

Elisabetta Carlini, Adriano Festa, Francisco J. Silva and Marie-Therese Wolfram
Dynamic Games and Applications 7 (4) 683 (2017)
https://doi.org/10.1007/s13235-016-0202-6

Boundary Treatment and Multigrid Preconditioning for Semi-Lagrangian Schemes Applied to Hamilton–Jacobi–Bellman Equations

Christoph Reisinger and Julen Rotaetxe Arto
Journal of Scientific Computing 72 (1) 198 (2017)
https://doi.org/10.1007/s10915-016-0351-1

Convergent Semi-Lagrangian Methods for the Monge--Ampère Equation on Unstructured Grids

Xiaobing Feng and Max Jensen
SIAM Journal on Numerical Analysis 55 (2) 691 (2017)
https://doi.org/10.1137/16M1061709

Optimal Control: Novel Directions and Applications

Adriano Festa, Roberto Guglielmi, Christopher Hermosilla, et al.
Lecture Notes in Mathematics, Optimal Control: Novel Directions and Applications 2180 127 (2017)
https://doi.org/10.1007/978-3-319-60771-9_2

An unconditionally monotone numerical scheme for the two-factor uncertain volatility model

K. Ma and P. A. Forsyth
IMA Journal of Numerical Analysis drw025 (2016)
https://doi.org/10.1093/imanum/drw025

Some Non-monotone Schemes for Time Dependent Hamilton–Jacobi–Bellman Equations in Stochastic Control

Xavier Warin
Journal of Scientific Computing 66 (3) 1122 (2016)
https://doi.org/10.1007/s10915-015-0057-9

Discontinuous Galerkin finite element methods for time-dependent Hamilton–Jacobi–Bellman equations with Cordes coefficients

Iain Smears and Endre Süli
Numerische Mathematik 133 (1) 141 (2016)
https://doi.org/10.1007/s00211-015-0741-6

Flux form Semi-Lagrangian methods for parabolic problems

Luca Bonaventura and Roberto Ferretti
Communications in Applied and Industrial Mathematics 7 (3) 56 (2016)
https://doi.org/10.1515/caim-2016-0022

A dynamic domain decomposition for the eikonal-diffusion equation

Simone Cacace and Maurizio Falcone
Discrete & Continuous Dynamical Systems - S 9 (1) 109 (2016)
https://doi.org/10.3934/dcdss.2016.9.109

Error estimates for second order Hamilton-Jacobi-Bellman equations. Approximation of probabilistic reachable sets

Mohamed Assellaou, Olivier Bokanowski and Hasnaa Zidani
Discrete & Continuous Dynamical Systems - A 35 (9) 3933 (2015)
https://doi.org/10.3934/dcds.2015.35.3933

Using nonlinear model predictive control for dynamic decision problems in economics

Lars Grüne, Willi Semmler and Marleen Stieler
Journal of Economic Dynamics and Control 60 112 (2015)
https://doi.org/10.1016/j.jedc.2015.08.010

A semi-Lagrangian scheme for a degenerate second order mean field game system

Elisabetta Carlini and Francisco J. Silva
Discrete & Continuous Dynamical Systems - A 35 (9) 4269 (2015)
https://doi.org/10.3934/dcds.2015.35.4269

Dynamic Programming and Error Estimates for Stochastic Control Problems with Maximum Cost

Olivier Bokanowski, Athena Picarelli and Hasnaa Zidani
Applied Mathematics & Optimization 71 (1) 125 (2015)
https://doi.org/10.1007/s00245-014-9255-3

Extraction of Quantifiable Information from Complex Systems

Jochen Garcke and Irene Klompmaker
Lecture Notes in Computational Science and Engineering, Extraction of Quantifiable Information from Complex Systems 102 179 (2014)
https://doi.org/10.1007/978-3-319-08159-5_9

Semi-Lagrangian Methods for Parabolic Problems in Divergence Form

L. Bonaventura and R. Ferretti
SIAM Journal on Scientific Computing 36 (5) A2458 (2014)
https://doi.org/10.1137/140969713

Multigrid Methods for Second Order Hamilton--Jacobi--Bellman and Hamilton--Jacobi--Bellman--Isaacs Equations

Dong Han and Justin W. L. Wan
SIAM Journal on Scientific Computing 35 (5) S323 (2013)
https://doi.org/10.1137/120881476

Using Nonlinear Model Predictive Control for Dynamic Decision Problems In Economics

Lars Grüne, Willi Semmler and Marleen Stieler
SSRN Electronic Journal (2013)
https://doi.org/10.2139/ssrn.2242339

On the Convergence of Finite Element Methods for Hamilton--Jacobi--Bellman Equations

Max Jensen and Iain Smears
SIAM Journal on Numerical Analysis 51 (1) 137 (2013)
https://doi.org/10.1137/110856198

Semi-Lagrangian Discontinuous Galerkin Schemes for Some First and Second Order Partial Differential Equations

Olivier Bokanowski and Giorevinus MPH Simarmata
SSRN Electronic Journal (2012)
https://doi.org/10.2139/ssrn.2345998

A probabilistic numerical method for fully nonlinear parabolic PDEs

Arash Fahim, Nizar Touzi and Xavier Warin
The Annals of Applied Probability 21 (4) (2011)
https://doi.org/10.1214/10-AAP723

Difference-Quadrature Schemes for Nonlinear Degenerate Parabolic Integro-PDE

Imran H. Biswas, Espen R. Jakobsen and Kenneth H. Karlsen
SIAM Journal on Numerical Analysis 48 (3) 1110 (2010)
https://doi.org/10.1137/090761501

A Finite Element Like Scheme for Integro-Partial Differential Hamilton–Jacobi–Bellman Equations

Fabio Camilli and Espen R. Jakobsen
SIAM Journal on Numerical Analysis 47 (4) 2407 (2009)
https://doi.org/10.1137/080723144

Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions

Espen R. Jakobsen, Kenneth H. Karlsen and Claudia La Chioma
Numerische Mathematik 110 (2) 221 (2008)
https://doi.org/10.1007/s00211-008-0160-z

The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method

Carl Chiarella and Chih-Ying Hsiao
Computational Economics 28 (2) 113 (2006)
https://doi.org/10.1007/s10614-006-9036-4

STABILIZATION OF CONTROLLED DIFFUSIONS AND ZUBOV'S METHOD

FABIO CAMILLI, ANNALISA CESARONI, LARS GRÜNE and FABIAN WIRTH
Stochastics and Dynamics 06 (03) 373 (2006)
https://doi.org/10.1142/S0219493706001803

Error Bounds for Monotone Approximation Schemes for Hamilton--Jacobi--Bellman Equations

Guy Barles and Espen R. Jakobsen
SIAM Journal on Numerical Analysis 43 (2) 540 (2005)
https://doi.org/10.1137/S003614290343815X

Convergence Rates for Semi-Discrete Splitting Approximations for Degenerate Parabolic Equations with Source Terms

E. R. Jakobsen and K. H. Karlsen
BIT Numerical Mathematics 45 (1) 37 (2005)
https://doi.org/10.1007/s10543-005-2641-0

Consistency of a simple multidimensional scheme for Hamilton–Jacobi–Bellman equations

Rémi Munos and Hasnaa Zidani
Comptes Rendus. Mathématique 340 (7) 499 (2005)
https://doi.org/10.1016/j.crma.2005.02.001

The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method

Carl Chiarella and Chih-Ying Hsiao
SSRN Electronic Journal (2005)
https://doi.org/10.2139/ssrn.893084

A fast algorithm for the two dimensional HJB equation of stochastic control

J. Frédéric Bonnans, Élisabeth Ottenwaelter and Housnaa Zidani
ESAIM: Mathematical Modelling and Numerical Analysis 38 (4) 723 (2004)
https://doi.org/10.1051/m2an:2004034

Using dynamic programming with adaptive grid scheme for optimal control problems in economics

Lars Grüne and Willi Semmler
Journal of Economic Dynamics and Control 28 (12) 2427 (2004)
https://doi.org/10.1016/j.jedc.2003.11.002

ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS

ESPEN ROBSTAD JAKOBSEN
Mathematical Models and Methods in Applied Sciences 13 (05) 613 (2003)
https://doi.org/10.1142/S0218202503002660

Semi-Lagrangian Schemes for Hamilton–Jacobi Equations, Discrete Representation Formulae and Godunov Methods

M. Falcone and R. Ferretti
Journal of Computational Physics 175 (2) 559 (2002)
https://doi.org/10.1006/jcph.2001.6954

On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations

Guy Barles and Espen Robstad Jakobsen
ESAIM: Mathematical Modelling and Numerical Analysis 36 (1) 33 (2002)
https://doi.org/10.1051/m2an:2002002