Discrete Dynamic Programming and Viscosity Solutions of the Bellman Equation
Italo Capuzzo Dolcetta, Maurizio Falcone · Annales de l Institut Henri Poincaré C Analyse Non Linéaire · 1989
This paper presents a technique for approximating the viscosity solution of the Bellman equation in deterministic control problems. This technique, based on discrete dynamic programming, leads to monotonically converging schemes and allows to prove a priori error estimates. Several computational algorithms leading to monotone convergence are reviewed and compared.