Numerical method for optimal portfolio in an exponential utility regime-switching model
convergenceexponential non-linearitynegativity preservingregime-switching modelsemi-linear parabolic equationvan Leer flux-limiter
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) Portfolio theory (91G10) Numerical methods (including Monte Carlo methods) (91G60)
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