Numerical Analysis of the Model of Optimal Consumption and Borrowing with Random Time Scale

DOI10.1007/978-3-030-40616-5_19OpenAlexW3006008398MaRDI QIDQ5122296

Aleksandra Zhukova, Igor G. Pospelov

Publication date: 22 September 2020

Published in: Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-40616-5_19

zbMATH Keywords

optimal controltime scalefunctional Newton method

Mathematics Subject Classification ID

Numerical analysis (65-XX)

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Cites Work

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• Applied stochastic control of jump diffusions.
• Theory of stochastic differential equations with jumps and applications.
• Numerical solution of dynamic equilibrium models under Poisson uncertainty