Penalty and penalty-like methods for nonlinear HJB PDEs (Q2139765)
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scientific article; zbMATH DE number 7529352
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| English | Penalty and penalty-like methods for nonlinear HJB PDEs |
scientific article; zbMATH DE number 7529352 |
Statements
Penalty and penalty-like methods for nonlinear HJB PDEs (English)
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19 May 2022
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partial differential equations
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Black-Scholes
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nonlinear iteration
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finite differences
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Crank-Nicolson
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control problem
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Hamilton-Jacobi-Bellman (HJB) equation
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transaction costs
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stock borrowing fees
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penalty methods
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0.8848084211349487
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0.8709533214569092
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0.8413183093070984
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0.8287780284881592
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0.820305347442627
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