@Article{NMTMA-11-1,
author = {Matthias, Ehrhardt and Michael, Günther and Kossaczký, Igor and Matthias, Ehrhardt and Michael, Günther},
title = {A New Convergent Explicit Tree-Grid Method for HJB Equations in One Space Dimension },
journal = {Numerical Mathematics: Theory, Methods and Applications},
year = {2018},
volume = {11},
number = {1},
pages = {1--29},
abstract = {<p style="text-align: justify;">In this work we introduce a new unconditionally convergent explicit Tree-Grid
Method for solving stochastic control problems with one space and one time
dimension or equivalently, the corresponding Hamilton-Jacobi-Bellman equation. We
prove the convergence of the method and outline the relationships to other numerical
methods. The case of vanishing diffusion is treated by introducing an artificial diffusion
term. We illustrate the superiority of our method to the standardly used implicit finite
difference method on two numerical examples from finance.&nbsp;</p>},
issn = {2079-7338},
doi = {https://doi.org/10.4208/nmtma.OA-2017-0066},
url = {https://global-sci.com/article/90442/a-new-convergent-explicit-tree-grid-method-for-hjb-equations-in-one-space-dimension}
}