Weakly Chained Matrices, Policy Iteration, and Impulse Control
From MaRDI portal
Publication:2805130
DOI10.1137/15M1043431zbMath1338.65174arXiv1510.03928OpenAlexW1937232319MaRDI QIDQ2805130
Parsiad Azimzadeh, Peter A. I. Forsyth
Publication date: 10 May 2016
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1510.03928
convergenceHamilton-Jacobi-Bellman equationquasi-variational inequalitiespolicy iterationoptimal consumptionweakly chained diagonally dominant matrixsemi-Lagrangian discretizationcombined stochastic and impulse controloptimal exchange rate
Variational inequalities (49J40) Discrete approximations in optimal control (49M25) Existence of optimal solutions to problems involving randomness (49J55) Hamilton-Jacobi equations (35F21) Numerical methods for variational inequalities and related problems (65K15)
Related Items
The power of two choices for random walks, Discrete analysis of Schwarz waveform relaxation for a diffusion reaction problem with discontinuous coefficients, Convergence of Implicit Schemes for Hamilton--Jacobi--Bellman Quasi-Variational Inequalities, A fast and stable test to check if a weakly diagonally dominant matrix is a nonsingular M-matrix, The cover time of a (multiple) Markov chain with rational transition probabilities is rational, Optimal investment for retail investors, A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions, Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications, Multigrid methods for convergent mixed finite difference scheme for Monge-Ampère equation, Utility maximisation in a factor model with constant and proportional transaction costs, Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization, A fixed-point policy-iteration-type algorithm for symmetric nonzero-sum stochastic impulse control games, Monotone mixed finite difference scheme for Monge-Ampère equation, Error Estimates of Penalty Schemes for Quasi-Variational Inequalities Arising from Impulse Control Problems, A Penalty Scheme for Monotone Systems with Interconnected Obstacles: Convergence and Error Estimates, Multigrid methods for image registration model based on optimal mass transport, High Order Bellman Equations and Weakly Chained Diagonally Dominant Tensors
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A comparison of iterated optimal stopping and local policy iteration for American options under regime switching
- Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion
- Applied stochastic control of jump diffusions.
- Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions
- A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
- Backward SDEs with constrained jumps and quasi-variational inequalities
- A policy iteration algorithm for fixed point problems with nonexpansive operators
- M-matrix characterizations. I: nonsingular M-matrices
- Optimal impulse and continuous control: Method of nonlinear quasi- variational inequalities
- Optimal stochastic intervention control with application to the exchange rate
- Optimal Central Bank intervention in the foreign exchange market
- Financial valuation of guaranteed minimum withdrawal benefits
- Penalty Methods for the Solution of Discrete HJB Equations—Continuous Control and Obstacle Problems
- GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
- PRICING ASIAN OPTIONS FOR JUMP DIFFUSION
- A Finite Time Horizon Optimal Stopping Problem with Regime Switching
- Some Convergence Results for Howard's Algorithm
- The Existence of Optimal Bang-Bang Controls for GMxB Contracts
- On a Finite Difference Analogue of an Elliptic Boundary Problem which is Neither Diagonally Dominant Nor of Non‐negative Type
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- Convergent Difference Schemes for Degenerate Elliptic and Parabolic Equations: Hamilton--Jacobi Equations and Free Boundary Problems
- A Sufficient Condition for Nonvanishing of Determinants
