Highly Influenced

# A Fast Algorithm for the Two Dimensional Hjb Equation of Stochastic Control

@inproceedings{Bonnans2004AFA, title={A Fast Algorithm for the Two Dimensional Hjb Equation of Stochastic Control}, author={J. Fr{\'e}d{\'e}ric Bonnans and {\'E}lisabeth Ottenwaelter and Housnaa Zidani}, year={2004} }

- Published 2004

This paper analyses the implementation of the generalized finite differences method for the HJB equation of stochastic control, introduced by two of the authors in [Bonnans and Zidani, SIAM J. Numer. Anal. 41 (2003) 1008–1021]. The computation of coefficients needs to solve at each point of the grid (and for each control) a linear programming problem. We show here that, for two dimensional problems, this linear programming problem can be solved in O(pmax) operations, where pmax is the size of… CONTINUE READING