A Penalty Method for the Numerical Solution of Hamilton–Jacobi–Bellman (HJB) Equations in Finance (Q3091798): Difference between revisions
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Latest revision as of 14:59, 19 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Penalty Method for the Numerical Solution of Hamilton–Jacobi–Bellman (HJB) Equations in Finance |
scientific article |
Statements
A Penalty Method for the Numerical Solution of Hamilton–Jacobi–Bellman (HJB) Equations in Finance (English)
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14 September 2011
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HJB equation
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numerical solution
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penalty method
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convergence analysis
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viscosity solution
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