Numerical Approximation of a System of Hamilton–Jacobi–Bellman Equations Arising in Innovation Dynamics
We consider a system of fully nonlinear partial differential equations that corresponds to the Hamilton–Jacobi–Bellman equations for the value functions of an optimal innovation investment problem of a monopoly firm facing bankruptcy risk. We compare several algorithms for the numerical solution of...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Springer
2022
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |