A finite element like scheme for integro-partial differential Hamilton-Jacobi-Bellman equations (Q3584607)
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scientific article; zbMATH DE number 5776012
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| English | A finite element like scheme for integro-partial differential Hamilton-Jacobi-Bellman equations |
scientific article; zbMATH DE number 5776012 |
Statements
A Finite Element Like Scheme for Integro-Partial Differential Hamilton–Jacobi–Bellman Equations (English)
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30 August 2010
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integro-partial differential equation
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viscosity solution
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finite element method scheme
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Levy-process
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jump model error estimates
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Markov-process with jumps
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Hamilton-Jacobi-Bellman equations
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dynamic programming
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financial markets
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Stock prices
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stochastic optimal control
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convergence
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0.7983254194259644
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0.7878590226173401
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0.7839504480361938
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0.7796653509140015
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0.7774551510810852
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