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 h0 := T/N; the discretization instants are tk := kh0, k = 0 to N. The space step is h1 > 0, and the spatial grid points are xj:= jh1, V(xj,...
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Numerical diagrams for the HJB equation
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