Convergence of Implicit Schemes for Hamilton--Jacobi--Bellman Quasi-Variational Inequalities (Q4554791): Difference between revisions

@@ Property / arXiv ID @@
+.02922
@@ Property / arXiv ID: 1705.02922 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Consumption and Investment with Fixed and Proportional Transaction Costs
+Normal rank
@@ Property / cites work @@
+A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions
+Normal rank
@@ Property / cites work @@
+Weakly Chained Matrices, Policy Iteration, and Impulse Control
+Normal rank
@@ Property / cites work @@
+A comparison of iterated optimal stopping and local policy iteration for American options under regime switching
+Normal rank
@@ Property / cites work @@
+Optimal impulse control of a portfolio with a fixed transaction cost
+Normal rank
@@ Property / cites work @@
+Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
+Normal rank
@@ Property / cites work @@
+Deterministic Impulse Control Problems
@@ Property / cites work: Deterministic Impulse Control Problems / rank @@
+Normal rank
@@ Property / cites work @@
+Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
+Normal rank
@@ Property / cites work @@
+On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
+Normal rank
@@ Property / cites work @@
+Q3355178
@@ Property / cites work: Q3355178 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Impulse Control of Jump Diffusions
@@ Property / cites work: On the Impulse Control of Jump Diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+A General Verification Result for Stochastic Impulse Control Problems
+Normal rank
@@ Property / cites work @@
+Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals
+Normal rank
@@ Property / cites work @@
+Q3953613
@@ Property / cites work: Q3953613 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Control of Trading Algorithms: A General Impulse Control Approach
+Normal rank
@@ Property / cites work @@
+Impulse Control of Multidimensional Jump Diffusions in Finite Time Horizon
+Normal rank
@@ Property / cites work @@
+A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
+Normal rank
@@ Property / cites work @@
+Stochastic Differential Games Involving Impulse Controls and Double-Obstacle Quasi-variational Inequalities
+Normal rank
@@ Property / cites work @@
+Impulse Control of Multidimensional Jump Diffusions
+Normal rank
@@ Property / cites work @@
+Semi-Lagrangian schemes for linear and fully non-linear diffusion equations
+Normal rank
@@ Property / cites work @@
+A probabilistic numerical method for fully nonlinear parabolic PDEs
+Normal rank
@@ Property / cites work @@
+Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
+Normal rank
@@ Property / cites work @@
+Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes
+Normal rank
@@ Property / cites work @@
+Viscosity solutions of nonlinear second order elliptic PDEs involving nonlocal operators
+Normal rank
@@ Property / cites work @@
+Stochastic impulse control with regime-switching dynamics
+Normal rank
@@ Property / cites work @@
+Q4004190
@@ Property / cites work: Q4004190 / rank @@
+Normal rank
@@ Property / cites work @@
+Convergent Difference Schemes for Degenerate Elliptic and Parabolic Equations: Hamilton--Jacobi Equations and Free Boundary Problems
+Normal rank
@@ Property / cites work @@
+Applied stochastic control of jump diffusions.
@@ Property / cites work: Applied stochastic control of jump diffusions. / rank @@
+Normal rank
@@ Property / cites work @@
+Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions
+Normal rank
@@ Property / cites work @@
+Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach
+Normal rank
@@ Property / OpenAlex ID @@
+W2788545836
@@ Property / OpenAlex ID: W2788545836 / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q128911339
@@ Property / Wikidata QID: Q128911339 / rank @@
+Normal rank