Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations (Q256114)
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scientific article; zbMATH DE number 6552776
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| English | Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations |
scientific article; zbMATH DE number 6552776 |
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Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations (English)
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9 March 2016
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fully nonlinear PDEs
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monotone approximation schemes
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piecewise constant policy time stepping
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viscosity solutions
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uncertain volatility model
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mean variance
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0.7997464537620544
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0.7799254059791565
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0.7648034691810608
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0.7626252174377441
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