Related papers: Error estimates for finite difference schemes asso…
In this paper, we consider first order Hamilton-Jacobi (HJ) equations posed on a ``junction'', that is to say the union of a finite number of half-lines with a unique common point. For this continuous HJ problem, we propose a finite…
We prove precise rates of convergence for monotone approximation schemes of fractional and nonlocal Hamilton-Jacobi-Bellman (HJB) equations. We consider diffusion corrected difference-quadrature schemes from the literature and new…
We investigate rates of convergence for two approximation schemes of time-independent and time-dependent Hamilton-Jacobi equ-ations with Kirchoff junction conditions. We analyze the vanishing viscosity limit and monotone finite-difference…
We establish a well-posedness and error-estimation framework that solves Hamilton-Jacobi equations by minimizing the least-squares residual of monotone finite-difference discretizations. This approach also applies naturally to second-order…
We obtain non-symmetric upper and lower bounds on the rate of convergence of general monotone approximation/numerical schemes for parabolic Hamilton Jacobi Bellman Equations by introducing a new notion of consistency. We apply our general…
We build a simple and general class of finite difference schemes for first order Hamilton-Jacobi (HJ) Partial Differential Equations. These filtered schemes are convergent to the unique viscosity solution of the equation. The schemes are…
The aim of this paper is to develop a general method for constructing approximation schemes for viscosity solutions of fully nonlinear pathwise stochastic partial differential equations, and for proving their convergence. Our results apply…
In this paper, we present and analyse a class of "filtered" numerical schemes for second order Hamilton-Jacobi-Bellman equations. Our approach follows the ideas introduced in B.D. Froese and A.M. Oberman, Convergent filtered schemes for the…
This work proposes and studies numerical schemes for initial value problems of Hamilton--Jacobi equations (HJEs) with a graph individual noise on the Wasserstein space on graphs. Numerically solving such equations is particularly…
This paper presents a new narrow-stencil finite difference method for approximating the viscosity solution of second order fully nonlinear elliptic partial differential equations including Hamilton-Jacobi-Bellman equations. The proposed…
We consider continuous-state and continuous-time control problems where the admissible trajectories of the system are constrained to remain on a union of half-planes which share a common straight line. This set will be named a junction. We…
We consider an infinite horizon control problem for dynamics constrained to remain on a multidimensional junction with entry costs. We derive the associated system of Hamilton-Jacobi equations (HJ), prove the comparison principle and that…
We study the numerical approximation of time-dependent, possibly degenerate, second-order Hamilton-Jacobi-Bellman equations in bounded domains with nonhomogeneous Dirichlet boundary conditions. It is well known that convergence towards the…
We establish $L^p$ error estimates for monotone numerical schemes approximating Hamilton-Jacobi equations on the $d$-dimensional torus. Using the adjoint method, we first prove a $L^1$ error bound of order one for finite-difference and…
We introduce a new class of "filtered" schemes for some first order non-linear Hamilton-Jacobi-Bellman equations. The work follows recent ideas of Froese and Oberman (SIAM J. Numer. Anal., Vol 51, pp.423-444, 2013). The proposed schemes are…
This paper develops a new framework for designing and analyzing convergent finite difference methods for approximating both classical and viscosity solutions of second order fully nonlinear partial differential equations (PDEs) in 1-D. The…
We prove first-order convergence of semi-discrete monotone finite difference schemes for Hamilton--Jacobi equations on the Wasserstein space over a finite graph. A central challenge is the boundary degeneracy of the Wasserstein simplex,…
We study semi Lagrangian approximation schemes for Hamilton Jacobi Bellman equations arising from finite horizon optimal control problems. Classical error estimates for these schemes include the term $\frac{1}{\Delta t}$ which leads to…
We prove explicit estimates for the error in random homogenization of degenerate, second-order Hamilton-Jacobi equations, assuming the coefficients satisfy a finite range of dependence. In particular, we obtain an algebraic rate of…
This paper proposes penalty schemes for a class of weakly coupled systems of Hamilton-Jacobi-Bellman quasi-variational inequalities (HJBQVIs) arising from stochastic hybrid control problems of regime-switching models with both continuous…