Boundary Treatment and Multigrid Preconditioning for Semi-Lagrangian Schemes Applied to Hamilton–Jacobi–Bellman Equations

An unconditionally monotone numerical scheme for the two-factor uncertain volatility model

(2016) K. Ma et al.   IMA JOURNAL OF NUMERICAL ANALYSIS

Some Non-monotone Schemes for Time Dependent Hamilton–Jacobi–Bellman Equations in Stochastic Control

(2015) Xavier Warin   JOURNAL OF SCIENTIFIC COMPUTING

Preconditioning

(2015) A. J. Wathen   ACTA NUMERICA

Multigrid Methods for Second Order Hamilton--Jacobi--Bellman and Hamilton--Jacobi--Bellman--Isaacs Equations

(2013) Dong Han et al.   SIAM JOURNAL ON SCIENTIFIC COMPUTING

Semi-Lagrangian schemes for linear and fully non-linear diffusion equations

(2012) Kristian Debrabant et al.   MATHEMATICS OF COMPUTATION

An Algebraic Multigrid Method with Guaranteed Convergence Rate

(2012) Artem Napov et al.   SIAM JOURNAL ON SCIENTIFIC COMPUTING

Aggregation-Based Algebraic Multigrid for Convection-Diffusion Equations

(2012) Yvan Notay   SIAM JOURNAL ON SCIENTIFIC COMPUTING

Some Convergence Results for Howard's Algorithm

(2009) Olivier Bokanowski et al.   SIAM JOURNAL ON NUMERICAL ANALYSIS

Recursive Krylov-based multigrid cycles

(2007) Yvan Notay et al.   NUMERICAL LINEAR ALGEBRA WITH APPLICATIONS