On the non-existence of higher order monotone approximation schemes for HJB equations
نویسندگان
چکیده
In this work we present a result on the non-existence of monotone, consistent linear discrete approximation of order higher than 2. This is an essential ingredient, if we want to solve numerically nonlinear and particularly Hamilton-Jacobi-Bellman (HJB) equations.
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عنوان ژورنال:
- Appl. Math. Lett.
دوره 52 شماره
صفحات -
تاریخ انتشار 2016