Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization

DOI10.1007/S10915-020-01352-4MaRDI QIDQ2219642zbMATH OpenOpenAlexFDO

Authors Jingtang Ma, Jianjun Ma

Publication date 20 January 2021

Published in Journal of Scientific Computing (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s10915-020-01352-4

zbMATH Keywords

finite difference methodsHamilton-Jacobi-Bellman equationsiteration policyregime switching optimizationstochastic control problemutility maximization

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20)

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Cites work

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Cited in

(7)

• Hamilton-Jacobi-Bellman-Isaacs equation for rational inattention in the long-run management of river environments under uncertainty
• The policy iteration algorithm for a compound Poisson process applied to optimal dividend strategies under a Cramér-Lundberg risk model
• Numerical approximation of a system of Hamilton-Jacobi-Bellman equations arising in innovation dynamics
• Efficient finite difference method for optimal portfolio in a power utility regime-switching model
• Penalized schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities arising in regime switching utility maximization with optimal stopping
• Convergence analysis of iterative deep learning algorithms for fully nonlinear BSPDEs in non-Markovian utility maximization
• On finite-difference approximations for normalized Bellman equations

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