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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)

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 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)

In this paper, we investigate a minimum time problem for controlled non-autonomous differential systems, with a dynamics depending on the final time. The minimal time function associated to this problem does not satisfy the dynamic programming principle. However, we will prove that it is related to a standard front propagation problem via the reachability… (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 are interested in front propagation problems in the presence of obstacles. We extend a previous work (Bokanowski, Cheng and Shu [6]), to propose a simple and direct discontinuous Galerkin (DG) method adapted to such front propagation problems. We follow the formulation of Bokanowski et al. [7], leading to a level set formulation driven by min(ut + H(x,… (More)

In this paper, we are interested in some front propagation problems coming from control problems in d-dimensional spaces, with d ≥ 2. As opposed to the usual level set method, we localize the front as a discontinuity of a characteristic function. The evolution of the front is computed by solving an Hamilton-Jacobi-Bellman equation with discontinuous data,… (More)