Convergent Approximations in Parabolic Variational Inequalities. II. Hamilton-Jacobi Inequalities.

Abstract

This paper studies the two-sided differential inequality which characterizes the optimal payoff in a two-person differential game, when the strategies available to the players are stopping times. By converting the inequality to an equation via a so-called penalization method, we are able to apply a standard numerical method for approximating solutions of nonlinear equations. We obtain new rates of convergence for the procedure. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Mar 01, 1980
Accession Number
ADA086364

Entities

People

  • Joseph W. Jerome

Organizations

  • University of Wisconsin–Madison

Tags

Communities of Interest

  • C4I

DTIC Thesaurus Topics

  • Boundaries
  • Continents
  • Convergence
  • Equations
  • Finite Element Analysis
  • Game Theory
  • Geographic Regions
  • Geometry
  • Inequalities
  • Mathematics
  • Military Research
  • North Carolina
  • Security
  • Standards
  • Theorems
  • United States
  • Wisconsin

Fields of Study

  • Mathematics

Readers

  • Calculus or Mathematical Analysis
  • Game Theory.