A numerical study for optimal portfolio regime-switching model. I: 2D Black-Scholes equation with an exponential non-linear term.

DOI10.1016/J.CAM.2016.01.012MaRDI QIDQ507925zbMATH OpenOpenAlexWikidataFDO

Authors Miglena N. Koleva, Lubin G. Vulkov

Publication date 9 February 2017

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2016.01.012

zbMATH Keywords

convergencestabilitymonotonicitysemilinear parabolic equationsign preservingoptimal portfolio regime-switching model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Portfolio theory (91G10) Semilinear parabolic equations (35K58)

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• A positive splitting method for mixed hyperbolic-parabolic systems
• An energy-conserving second order numerical scheme for nonlinear hyperbolic equation with an exponential nonlinear term
• An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
• Discrete Maximum Principle and Adequate Discretizations of Linear Parabolic Problems
• High-resolution FEM-TVD schemes based on a fully multidimensional flux limiter
• Nonlinear elliptic boundary-value problems in unbounded domains
• Optimal portfolio in a regime-switching model
• Towards the ultimate conservative difference scheme. II: Monotonicity and conservation combined in a second-order scheme

Cited in

(5)

• Numerical method for optimal portfolio in an exponential utility regime-switching model
• Fitted finite volume method for indifference pricing in an exponential utility regime-switching model
• Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources
• Efficient finite difference method for optimal portfolio in a power utility regime-switching model
• Optimal harvesting policy of an inland fishery resource under incomplete information

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