Author(s)

Zhanyong Zou

School of Mathematics and Statistics, Guangdong University of Finance & Economics, Guangzhou, China.

In this paper we propose a relaxation scheme for solving discrete HJB equations based on scheme II [1] of Lions and Mercier. The convergence of the new scheme has been established. Numerical example shows that the scheme is efficient.

Iterative Algorithm, Relaxation Scheme, HJB Equation, Convergence, Existence

Zou, Z. (2014) A New Scheme for Discrete HJB Equations. Applied Mathematics, 5, 2643-2649. doi: 10.4236/am.2014.517252.