A New Scheme for Discrete HJB Equations

Zhanyong Zou

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

DOI: 10.4236/am.2014.517252                

Abstract

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.

Keywords

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

Conflicts of Interest

The authors declare no conflicts of interest.

References

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