Numerical Methods for Optimal Stochastic Control in Finance

Numerical Methods for Optimal Stochastic Control in Finance

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In this thesis, we develop partial differential equation (PDE) based numerical methods to solve certain optimal stochastic control problems in finance. The value of a stochastic control problem is normally identical to the viscosity solution of a Hamilton-Jacobi-Bellman (HJB) equation or an HJB vari...

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Bibliographic Details
Main Author: Chen, Zhuliang
Language:en
Published: 2008
Subjects:
nonlinear PDE
stochastic control
finite difference
semi-Lagrangian method
impulse control
viscosity solution
natural gas storage
GMWB
regime switching
Hamilton Jacobi Bellman (HJB) equation
HJB variational inequality
Computer Science
Online Access:http://hdl.handle.net/10012/3794

Internet

http://hdl.handle.net/10012/3794

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