We consider a convexity constrained Hamilton-Jacobi-Bellman-type obstacle problem for the value function of a zero-sum differential game with asymmetric information. We propose a convexity-preserving probabilistic numerical scheme for the approximation of the value function which is discrete...

We consider a convexity constrained Hamilton-Jacobi-Bellman-type obstacle problem for the value function of a zero-sum differential game with asymmetric information. We propose a convexity-preserving probabilistic numerical scheme for the approximation of the value function which is discrete...

We consider a system of Maxwell’s and Landau-Lifshitz-Gilbert equations describing magnetization dynamics in micromagnetism. The problem is discretized by a convergent, unconditionally stable finite element method. A multigrid preconditioned Uzawa type method for the solution of the algebraic...