Penalty Methods for the Solution of Discrete HJB Equations—Continuous Control and Obstacle Problems

DOI10.1137/110835840zbMath1314.65087arXiv1105.5954OpenAlexW3106269269MaRDI QIDQ2903003

Jan Hendrik Witte, Christoph Reisinger

Publication date: 23 August 2012

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1105.5954

zbMATH Keywords

convergencepenalty methodpolicy iterationoptimal stochastic controldiscrete Hamilton-Jacobi-Bellman (HJB) equationsHJB obstacle problemincomplete market investmentsemismooth Newton's methodweighted time stepping discretization

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical optimization and variational techniques (65K10) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Auctions, bargaining, bidding and selling, and other market models (91B26) Existence theories for optimal control problems involving partial differential equations (49J20) Existence of optimal solutions to problems involving randomness (49J55) Hamilton-Jacobi equations (35F21)

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