A new proof for the existence and uniqueness of the discrete evolutionary HJB equations

Salah Boulaaras and Mohamed Haiour

Applied Mathematics and Computation, 2015, vol. 262, issue C, 42-55

Abstract: In this paper, we establish a new proof for the existence and uniqueness of the discrete solution of evolutionary HJB equations which can be approximated by a weakly coupled system of coercive elliptic quasi-variational inequalities (OVIs). For that some properties of the presented algorithm (cf., e.g., Boulaaras and Haiour, 2013; Boulbrachene and Haiour, 2001) using the theta-scheme with respect to the t-variable combined with a finite element spatial approximation are proved.

Keywords: QVIs; Finite elements; Theta scheme fixed point; HJB equations (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:262:y:2015:i:c:p:42-55

DOI: 10.1016/j.amc.2015.03.095

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