Penalty Methods for the Solution of Discrete HJB Equations—Continuous Control and Obstacle Problems (Q2903003)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Penalty Methods for the Solution of Discrete HJB Equations—Continuous Control and Obstacle Problems |
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Penalty Methods for the Solution of Discrete HJB Equations—Continuous Control and Obstacle Problems (English)
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23 August 2012
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HJB obstacle problem
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weighted time stepping discretization
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penalty method
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semismooth Newton's method
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discrete Hamilton-Jacobi-Bellman (HJB) equations
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optimal stochastic control
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convergence
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incomplete market investment
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policy iteration
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