Article ID Journal Published Year Pages File Type
1707554 Applied Mathematics Letters 2016 5 Pages PDF
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.

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Related Topics
Physical Sciences and Engineering Engineering Computational Mechanics
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On the non-existence of higher order monotone approximation schemes for HJB equations
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