Julien Claisse

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In this note, we propose two different approaches to rigorously justify a pseudoMarkov property for controlled diffusion processes which is often (explicitly or implicitly) used to prove the dynamic programming principle in the stochastic control literature. The first approach develops a sketch of proof proposed by Fleming and Souganidis [9]. The second(More)
Finite-difference approximations to an elliptic–hyperbolic system arising in vortex density models for type II superconductors are studied. The problem can be formulated as a non-local Hamilton–Jacobi equation on a bounded domain with zero Neumann boundary conditions. Monotone schemes are defined and shown to be stable. An L∞ error bound is proved for the(More)
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