ESAIM: Mathematical Modelling and Numerical Analysis (ESAIM: M2AN)

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

J. Frédéric Bonnans, Élisabeth Ottenwaelter and Housnaa Zidani

ESAIM: M2AN, 38 4 (2004) 723-735

Published online: 15 August 2004

DOI: 10.1051/m2an:2004034

J. Frédéric Bonnans

Élisabeth Ottenwaelter

Housnaa Zidani

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