T. Asfihani

Numerical solution of the HJB equation using a hybrid Bernstein–fractional Chebyshev spectral collocation method

The Hamilton–Jacobi–Bellman (HJB) equation is fundamental in stochastic optimal control but is often difficult to solve accurately because of its nonlinear and multidimensional structure. This paper develops a hybrid tensor-product spectral collocation method based on shifted Bernstein polynomials in time and fractiona...