论文信息 - On the non-existence of higher order monotone approximation schemes for HJB equations

On the non-existence of higher order monotone approximation schemes for HJB equations

Abstract In this work we present a result on the non-existence of monotone, consistent linear discrete approximation of order higher than 2. This is an essential ingredient, if we want to solve numerically nonlinear and particularly Hamilton–Jacobi–Bellman (HJB) equations.

Matthias Ehrhardt | Michael Günther | Igor Kossaczký

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