The Penalty-Finite Element Approximation of Hamilton-Jacobi-Bellman Epuations
Xiaoliang Cheng · Yunchou yu guanli · 2007
This paper deals with the penalty-finite element approximation of Hamilton-Jacobi-Bellman Equations.It is shown that convergence and quasi-optimal-error estimate are established,involving a weakly coupled system of quasi-variational inequalities for the solution of HJB equations.