Accurate semi-Lagrangian time stepping for stochastic optimal control problems with application to the valuation of natural gas storage

DOI10.1137/110853546MaRDI QIDQ2873136zbMATH OpenOpenAlexFDO

Authors Antony Ware

Publication date 23 January 2014

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/110853546

zbMATH Keywords

stochastic optimal controlsemi-Lagrangian methodssplitting methodsFourier methodsstorage valuation

Mathematics Subject Classification ID

Numerical methods for trigonometric approximation and interpolation (65T40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Numerical aspects of the method of characteristics for initial value and initial-boundary value problems involving PDEs (65M25) Financial applications of other theories (91G80) Optimal stochastic control (93E20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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