Numerical method for optimal portfolio in an exponential utility regime-switching model
DOI10.1080/00207160.2018.1440289zbMATH Open1490.91243OpenAlexW2794318243WikidataQ115552418 ScholiaQ115552418MaRDI QIDQ5030573FDOQ5030573
Authors: Miglena N. Koleva, Lubin G. Vulkov 
Publication date: 17 February 2022
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2018.1440289
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convergenceregime-switching modelsemi-linear parabolic equationvan Leer flux-limiterexponential non-linearitynegativity preserving
Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Initial-boundary value problems for second-order parabolic systems (35K51) Degenerate parabolic equations (35K65) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)
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Cited In (5)
- RBF–based IMEX finite difference schemes for pricing option under liquidity switching
- Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization
- Efficient finite difference method for optimal portfolio in a power utility regime-switching model
- A numerical study for optimal portfolio regime-switching model. I: 2D Black-Scholes equation with an exponential non-linear term.
- Numerical methods for dividend optimization using regime-switching jump-diffusion models
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