A semi-Lagrangian scheme for Hamilton–Jacobi–Bellman equations with oblique derivatives boundary conditions

We investigate in this work a fully-discrete semi-Lagrangian approximation of second order possibly degenerate Hamilton–Jacobi–Bellman (HJB) equations on a bounded domain O⊂ RN (N= 1 , 2 , 3) with oblique derivatives boundary conditions. These equations appear naturally in the study of optimal control of diffusion processes with oblique reflection at the boundary of the domain. The proposed scheme is shown to satisfy a consistency type property, it is monotone and stable. Our main result is the convergence of the numerical solution towards the unique viscosity solution of the HJB equation. The convergence result holds under the same asymptotic relation between the time and space discretization steps as in the classical setting for semi-Lagrangian schemes on O= RN. We present some numerical results, in dimensions N=1,2, on unstructured meshes, that confirm the numerical convergence of the scheme

Second Order Fully Semi-Lagrangian Discretizations of Advection-Diffusion-Reaction Systems

We propose a second order, fully semi-Lagrangian method for the numerical solution of systems of advection-diffusion-reaction equations, which is based on a semi-Lagrangian approach to approximate in time both the advective and the diffusive terms. The proposed method allows to use large time steps, while avoiding the solution of large linear systems, which would be required by implicit time discretization techniques. Standard interpolation procedures are used for the space discretization on structured and unstructured meshes. A novel extrapolation technique is proposed to enforce second-order accurate Dirichlet boundary conditions. We include a theoretical analysis of the scheme, along with numerical experiments which demonstrate the effectiveness of the proposed approach and its superior efficiency with respect to more conventional explicit and implicit time discretizations