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

  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},
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


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