Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization (Q2219642): Difference between revisions

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Property / DOI: 10.1007/s10915-020-01352-4 / rank
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Property / full work available at URL: https://doi.org/10.1007/s10915-020-01352-4 / rank
 
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Latest revision as of 13:07, 17 December 2024

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Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization
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    Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization (English)
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    20 January 2021
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    utility maximization
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    stochastic control problem
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    regime switching optimization
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    Hamilton-Jacobi-Bellman equations
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    finite difference methods
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    iteration policy
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