Semi-Lagrangian schemes for linear and fully non-linear Hamilton-Jacobi-Bellman equations

We consider the numerical solution of Hamilton-Jacobi-Bellman equations arising in stochastic control theory. We introduce a class of monotone approximation schemes relying on monotone interpolation. These schemes converge under very weak assumptions, including the case of arbitrary degenerate diffusions. Besides providing a unifying framework that includes several known first order accurate schemes, stability and convergence results are given, along with two different robust error estimates. Finally, the method is applied to a super-replication problem from finance.Comment: to appear in the proceedings of HYP201

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

We analyse two practical aspects that arise in the numerical solution of Hamilton-Jacobi-Bellman (HJB) equations by a particular class of monotone approximation schemes known as semi-Lagrangian schemes. These schemes make use of a wide stencil to achieve convergence and result in discretization matrices that are less sparse and less local than those coming from standard finite difference schemes. This leads to computational difficulties not encountered there. In particular, we consider the overstepping of the domain boundary and analyse the accuracy and stability of stencil truncation. This truncation imposes a stricter CFL condition for explicit schemes in the vicinity of boundaries than in the interior, such that implicit schemes become attractive. We then study the use of geometric, algebraic and aggregation-based multigrid preconditioners to solve the resulting discretised systems from implicit time stepping schemes efficiently. Finally, we illustrate the performance of these techniques numerically for benchmark test cases from the literature

Multi-stage high order semi-Lagrangian schemes for incompressible flows in Cartesian geometries

Efficient transport algorithms are essential to the numerical resolution of incompressible fluid flow problems. Semi-Lagrangian methods are widely used in grid based methods to achieve this aim. The accuracy of the interpolation strategy then determines the properties of the scheme. We introduce a simple multi-stage procedure which can easily be used to increase the order of accuracy of a code based on multi-linear interpolations. This approach is an extension of a corrective algorithm introduced by Dupont \& Liu (2003, 2007). This multi-stage procedure can be easily implemented in existing parallel codes using a domain decomposition strategy, as the communications pattern is identical to that of the multi-linear scheme. We show how a combination of a forward and backward error correction can provide a third-order accurate scheme, thus significantly reducing diffusive effects while retaining a non-dispersive leading error term.Comment: 14 pages, 10 figure

Some regularity and convergence results for parabolic Hamilton-Jacobi-Bellman equations in bounded domains

We study the approximation of parabolic Hamilton-Jacobi-Bellman (HJB) equations in bounded domains with strong Dirichlet boundary conditions. We work under the assumption of the existence of a sufficiently regular barrier function for the problem to obtain well-posedness and regularity of a related switching system and the convergence of its components to the HJB equation. In particular, we show existence of a viscosity solution to the switching system by a novel construction of sub- and supersolutions and application of Perron's method. Error bounds for monotone schemes for the HJB equation are then derived from estimates near the boundary, where the standard regularisation procedure for viscosity solutions is not applicable, and are found to be of the same order as known results for the whole space. We deduce error bounds for some common finite difference and truncated semi-Lagrangian schemes

High-order filtered schemes for time-dependent second order HJB equations

In this paper, we present and analyse a class of "filtered" numerical schemes for second order Hamilton-Jacobi-Bellman equations. Our approach follows the ideas introduced in B.D. Froese and A.M. Oberman, Convergent filtered schemes for the Monge-Amp\`ere partial differential equation, SIAM J. Numer. Anal., 51(1):423--444, 2013, and more recently applied by other authors to stationary or time-dependent first order Hamilton-Jacobi equations. For high order approximation schemes (where "high" stands for greater than one), the inevitable loss of monotonicity prevents the use of the classical theoretical results for convergence to viscosity solutions. The work introduces a suitable local modification of these schemes by "filtering" them with a monotone scheme, such that they can be proven convergent and still show an overall high order behaviour for smooth enough solutions. We give theoretical proofs of these claims and illustrate the behaviour with numerical tests from mathematical finance, focussing also on the use of backward difference formulae (BDF) for constructing the high order schemes.Comment: 27 pages, 16 figures, 4 table