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
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)
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