Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization

DOI10.1007/S10915-020-01352-4zbMath1456.65004OpenAlexW3106017595MaRDI QIDQ2219642

Jianjun Ma, Jingtang Ma

Publication date: 20 January 2021

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10915-020-01352-4

zbMATH Keywords

Hamilton-Jacobi-Bellman equationsfinite difference methodsutility maximizationstochastic control problemiteration policyregime switching optimization

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22)

Related Items (4)

Hamilton-Jacobi-Bellman-Isaacs equation for rational inattention in the long-run management of river environments under uncertainty ⋮ The policy iteration algorithm for a compound Poisson process applied to optimal dividend strategies under a Cramér-Lundberg risk model ⋮ Numerical approximation of a system of Hamilton-Jacobi-Bellman equations arising in innovation dynamics ⋮ Penalized schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities arising in regime switching utility maximization with optimal stopping

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