Stable Numerical Schemes for Solving Hamilton-Jacobi-Bellman-Isaacs Equations

Authors:
Nikolai D. Botkin;Karl-Heinz Hoffmann;Varvara L. Turova
Affiliations:
botkin@ma.tum.de and hoffmann@ma.tum.de and turova@ma.tum.de;-;-
Venue:
SIAM Journal on Scientific Computing
Year:
2011

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Abstract

Stable approximation schemes for solving Hamilton-Jacobi-Bellman-Isaacs equations in $R^n$ are proposed. The efficiency of numerical procedures based on such approximations is demonstrated by solving several differential games in two, three, and four dimensions.