Xing-Ye Yue

A Positivity-Preserving Expectation Scheme for Hamilton--Jacobi--Bellman Equations with Oblique Robin Boundary Conditions

For anisotropic diffusion with mixed derivatives, standard compact coordinate-aligned stencils and some local finite-volume or finite-element constructions can lose nonnegative coefficients unless suitable coefficient or mesh conditions are imposed. Here nonnegative coefficients are generated directly from conditional...