Weakly Chained Matrices, Policy Iteration, and Impulse Control

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

zbMATH Keywords

convergenceHamilton-Jacobi-Bellman equationquasi-variational inequalitiespolicy iterationoptimal consumptionweakly chained diagonally dominant matrixsemi-Lagrangian discretizationcombined stochastic and impulse controloptimal exchange rate

Mathematics Subject Classification ID

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)

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