In this paper we propose a penalty method combined with a finite difference scheme for the
Hamilton-Jacobi-Bellman (HJB) equation arising in pricing American options under …

In this paper we propose a combination of a penalty method and a finite volume scheme for
a four-dimensional time-dependent Hamilton–Jacobi–Bellman (HJB) equation arising from …

The Hamilton-Jacobi-Bellman (HJB) equation, as a notable approach obtained from
dynamic programming, is widely used in solving optimal control problems that results in a …

We present a novel numerical method for the Hamilton–Jacobi–Bellman equation governing
a class of optimal feedback control problems. The spatial discretization is based on a least …

In this paper, we propose an efficient algorithm for a Hamilton–Jacobi–Bellman equation
governing a class of optimal feedback control and stochastic control problems. This …

Definition 2. We say that a continuous function u is a lower solution of (2)-(3) relative to the
stratification (1) if the following condition holds. Ifx∈ Mi and the restriction of u− ϕ to Mi has a …

In this paper we study optimal control computation based on the control parameterization
method for a class of optimal control problems involving nonlinear systems with multiple time …

Numerical Methods for Constrained Optimal Control Problems Page 1 Numerical Methods for
Constrained Optimal Control Problems Hartono Hartono A Thesis submitted for the degree of …

This thesis addresses the construction of some algorithms for numerically solving optimal
feedback control problems. Optimal control deals with the problem of finding a control law for …