A power penalty method for discrete HJB equations

DOI10.1007/S11590-019-01517-7MaRDI QIDQ2192989zbMATH OpenOpenAlexWikidataFDO

Authors Kai Zhang, Xiao Qi Yang

Publication date 24 August 2020

Published in Optimization Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11590-019-01517-7

zbMATH Keywords

convergence rate.HJB equationpenalty method

Mathematics Subject Classification ID

Nonlinear programming (90C30)

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Cites work

• A penalty method for the numerical solution of Hamilton-Jacobi-Bellman (HJB) equations in finance
• A power penalty approach to a nonlinear complementarity problem
• A power penalty method for linear complementarity problems
• A Smoothing Newton Method for Extended Vertical Linear Complementarity Problems
• Convergence Properties of Policy Iteration
• scientific article; zbMATH DE number 1577097 (Why is no real title available?)
• Multigrid methods for second-order Hamilton-Jacobi-Bellman and Hamilton-Jacobi-Bellman-Isaacs equations
• Numerical Methods for Stochastic Control Problems in Continuous Time
• Numerical performance of penalty method for American option pricing
• On power penalty methods for linear complementarity problems arising from American option pricing
• Penalty methods for the solution of discrete HJB equations -- continuous control and obstacle problems
• Some Convergence Results for Howard's Algorithm
• User’s guide to viscosity solutions of second order partial differential equations

Cited in

(8)

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• Power penalty method for solving HJB equations arising from finance
• Entropy penalization methods for Hamilton-Jacobi equations
• Penalty methods for the solution of discrete HJB equations -- continuous control and obstacle problems
• A penalty method for the numerical solution of Hamilton-Jacobi-Bellman (HJB) equations in finance
• scientific article; zbMATH DE number 6178064 (Why is no real title available?)
• A penalty-based method for solving a discrete HJB complementarity problem

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