A Semi-Lagrangian Scheme For Hamilton-Jacobi-Bellman Equations On Networks

We present a semi-Lagrangian scheme for the approximation of a class of Hamilton-Jacobi-Bellman (HJB) equations on networks. The scheme is explicit, consistent, and stable for large time steps. We prove a convergence result and two error estimates. For an HJB equation with space-independent Hamiltonian, we obtain a first order error estimate. In the general case, we provide, under a hyperbolic CFL condition, a convergence estimate of order one half. The theoretical results are discussed and validated in a numerical tests section.