SCAIM Seminar - Jan Blechschmidt

  • Date: 07/25/2017
  • Time: 12:30
Jan Blechschmidt, Faculty of Mathematics, TU Chemnitz 

University of British Columbia


A semi-Lagrangian scheme for the solution of Hamilton-Jacobi-Bellman equations


Hamilton-Jacobi-Bellman (HJB) equations are nonlinear partial differential equation that arise as optimality conditions of stochastic control problems. HJB equations often possess a variety of difficulties, e.g., discontinuous coefficients, vanishing viscosity, unknown boundary conditions, etc. One particular issue is the handling of non-existing second-order derivatives. In this presentation we focus on the discretization of HJB equations with a fully implicit timestepping scheme based on a semi-Lagrangian approach. We discuss the algorithmic idea in the context of a finite difference approximation and present numerical examples.

Other Information: 

Tuesday July 25, 12:30 pm
Location: ESB 4133 (PIMS Lounge)