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A numerical approach to the infinite horizon problem of deterministic control theory
 M. Falcone
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We are concerned with the HamiltonJacobi equation related to the infinite horizon problem of deterministic control theory. Approximate solutions are constructed by means of a discretization in time as well as in the state variable and we prove that their rate of convergence to the viscosity solution is of order 1, provided a semiconcavity assumption is satisfied. A computational algorithm, originally due to R. Gonzales and E. Rofman, is adapted and reformulated for the problem at hand in order to obtain an error estimate for the numerical approximate solutions.
This work has been partially supported by CNRGNAFA.
Communicated by W. Fleming
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 Title
 A numerical approach to the infinite horizon problem of deterministic control theory
 Journal

Applied Mathematics and Optimization
Volume 15, Issue 1 , pp 113
 Cover Date
 19870101
 DOI
 10.1007/BF01442644
 Print ISSN
 00954616
 Online ISSN
 14320606
 Publisher
 SpringerVerlag
 Additional Links
 Topics
 Authors

 M. Falcone ^{(1)}
 Author Affiliations

 1. Dipartimento di Matematica, Università di Roma, P. A. Moro, 2, 00185, Roma, Italy