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We consider a target problem for a nonlinear system under state constraints. We give a new continuous level-set approach for characterizing the optimal times and the backward-reachability sets. This approach leads to a characterization via a Hamilton-Jacobi equation, without assuming any controllability assumption. We also treat the case of time-dependent(More)
We propose two new antidiffusive schemes for advection (or linear transport), one of them being a mixture of Roe's Super-Bee scheme and of the " Ultra-Bee " scheme. We show how to apply these schemes to treat time-dependent first order Hamilton-Jacobi-Bellman equations with discontinuous initial data, possibly infinitely-valued. Numerical tests are(More)
We study a superreplication problem of European options with gamma constraints, in mathematical finance. The initially unbounded control problem is set back to a problem involving a viscosity PDE solution with a set of bounded controls. Then a numerical approach is introduced, inconditionnally stable with respect to the mesh steps. A generalized finite(More)
This paper is concerned with the numerical approximation of viability kernels. The method described here provides an alternative approach to the usual viability algorithm. We first consider a characterization of the viability kernel as the value function of a related optimal control problem, and then use a specially relevant numerical scheme for its(More)
We propose a semi-Lagrangian scheme using a spatially adaptive sparse grid to deal with non-linear time-dependent Hamilton-Jacobi Bellman equations. We focus in particular on front propagation models in higher dimensions which are related to control problems. We test the numerical efficiency of the method on several benchmark problems up to space dimension(More)
We propose a new discontinuous Galerkin (DG) method based on [9] to solve a class of Hamilton-Jacobi equations that arises from optimal control problems. These equations are connected to front propagation problems or minimal time problems with non isotropic dynamics. Several numerical experiments show the relevance of our method, in particular for front(More)