10. Numerical diagrams for the HJB equation
In this section, we assume that the cost and dynamics functions are Lipschitzian and bounded. We begin by discretizing the finite-horizon problem (121) .
10.1 Finite differences, scalar state
We are given a number of time steps N and therefore a time step h 0 := T/N; the discretization instants are t k := kh 0 , k = 0 to N. The space step is h 1 > 0, and the spatial grid points...
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Numerical diagrams for the HJB equation
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