Modeling and computation for stochastic optimal regime switching

MaRDI QIDQ2951479zbMATH OpenFDO

Authors Shuhua Zhang, Wenguang Tang

Publication date 6 January 2017

zbMATH Keywords

fitted finite volume methodpartial differential complementary problempenalty approachstochastic optimal regime switching

Mathematics Subject Classification ID

Existence theories for optimal control problems involving partial differential equations (49J20) Numerical mathematical programming methods (65K05) Finite volume methods for boundary value problems involving PDEs (65N08)

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• A numerical study for optimal portfolio regime-switching model. I: 2D Black-Scholes equation with an exponential non-linear term.

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