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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2021-01-01
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| Series: | AIMS Mathematics |
| Subjects: | |
| Online Access: | http://www.aimspress.com/article/doi/10.3934/math.2021186?viewType=HTML |