Efficient finite difference method for optimal portfolio in a power utility regime-switching model

DOI10.1080/00207160.2018.1474207MaRDI QIDQ5031703zbMATH OpenOpenAlexWikidataFDO

Authors Miglena N. Koleva, Tihomir B. Gyulov, Lubin G. Vulkov

Publication date 16 February 2022

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160.2018.1474207

zbMATH Keywords

exponential nonlinearityflux-limiterindifference pricingpositivity preservingregime-switching modelsemi-linear parabolic system

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic systems (35K51) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Portfolio theory (91G10)

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Cited in

(3)

• Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization
• Numerical method for optimal portfolio in an exponential utility regime-switching model
• A numerical study for optimal portfolio regime-switching model. I: 2D Black-Scholes equation with an exponential non-linear term.

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