Power penalty method for solving HJB equations arising from finance (Q2288647)
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scientific article; zbMATH DE number 7153338
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| English | Power penalty method for solving HJB equations arising from finance |
scientific article; zbMATH DE number 7153338 |
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Power penalty method for solving HJB equations arising from finance (English)
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20 January 2020
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HJB equation
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penalty method
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stochastic control
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partial differential equations
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policy iteration
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0.9050082564353944
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0.9023773074150084
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0.882733941078186
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0.8413183093070984
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