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A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization

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https://hal.archives-ouvertes.fr/hal-01019472
Contributor : Serena Benassù <>
Submitted on : Monday, July 7, 2014 - 11:20:56 AM
Last modification on : Friday, March 27, 2020 - 3:57:21 AM

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  • HAL Id : hal-01019472, version 1

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I. Kharroubi, N. Langrené, H. Pham. A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization. Monte Carlo Methods and Applications, De Gruyter, 2014, 20 (2), pp.145-165. ⟨hal-01019472⟩

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