A fitted finite volume method for stochastic optimal control problems in finance

A fitted finite volume method for stochastic optimal control problems in finance

In this article, we provide a numerical method based on fitted finite volume method to approximate the Hamilton-Jacobi-Bellman (HJB) equation coming from stochastic optimal control problems in one and two dimensional domain. The computational challenge is due to the nature of the HJB equation, which...

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Bibliographic Details
Main Authors: Christelle Dleuna Nyoumbi, Antoine Tambue
Format: Article
Language:English
Published: AIMS Press 2021-01-01
Series:AIMS Mathematics
Subjects:
stochastic optimal control
dynamic programming
hjb equations
finite volume method
finite difference method
degenerate parabolic operator
proper operator
viscosity solutions
Online Access:http://www.aimspress.com/article/doi/10.3934/math.2021186?viewType=HTML

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http://www.aimspress.com/article/doi/10.3934/math.2021186?viewType=HTML

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