Huang, C.S., Wang, S. and Teo, K.S. (2004) On Application of an Alternating Direction Method to HJB Equations. Journal of Computational and Applied Mathematics, 166, 153-166.
http://dx.doi.org/10.1016/j.cam.2003.09.031

has been cited by the following article:

• TITLE: A New Scheme for Discrete HJB Equations

  AUTHORS: Zhanyong Zou

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

  JOURNAL NAME: Applied Mathematics, Vol.5 No.17, October 9, 2014

  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.