Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance

DOI10.1137/060675186zbMath1166.65046OpenAlexW2071383004MaRDI QIDQ3631929

J. Wang, Peter A. I. Forsyth

Publication date: 22 June 2009

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/060675186

zbMATH Keywords

stochastic controlfinancecentral differencingmonotone schemenonlinear Hamilton-Jacobi-Bellman partial differential equations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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