Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization (Q2219642)
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scientific article; zbMATH DE number 7299084
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| English | Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization |
scientific article; zbMATH DE number 7299084 |
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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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0.7795800566673279
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0.7717514634132385
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0.7672625184059143
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0.7665455937385559
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