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

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  • Boulaaras, Salah
  • Haiour, Mohamed

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.

Suggested Citation

  • Boulaaras, Salah & Haiour, Mohamed, 2015. "A new proof for the existence and uniqueness of the discrete evolutionary HJB equations," Applied Mathematics and Computation, Elsevier, vol. 262(C), pages 42-55.
    • Handle: RePEc:eee:apmaco:v:262:y:2015:i:c:p:42-55
    DOI: 10.1016/j.amc.2015.03.095
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