A Finite Element Like Scheme for Integro-Partial Differential Hamilton–Jacobi–Bellman Equations

DOI10.1137/080723144zbMath1202.65080arXiv0805.3272OpenAlexW2073691774MaRDI QIDQ3584607

Publication date: 30 August 2010

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

Full work available at URL: https://arxiv.org/abs/0805.3272

zbMATH Keywords

convergence dynamic programming viscosity solution stochastic optimal control Hamilton-Jacobi-Bellman equations financial markets integro-partial differential equation Stock prices finite element method scheme jump model error estimates Levy-process Markov-process with jumps

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical optimization and variational techniques (65K10) Dynamic programming in optimal control and differential games (49L20) Integro-partial differential equations (45K05) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Discrete approximations in optimal control (49M25) Existence of optimal solutions to problems involving randomness (49J55) Hamilton-Jacobi equations (35F21) Existence theories for optimal control problems involving relations other than differential equations (49J21)

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