Pages that link to "Item:Q3091798"
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The following pages link to A Penalty Method for the Numerical Solution of Hamilton–Jacobi–Bellman (HJB) Equations in Finance (Q3091798):
Displaying 13 items.
- A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models (Q1651337) (← links)
- A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities (Q2027590) (← links)
- Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps (Q2041006) (← links)
- Solution method for discrete double obstacle problems based on a power penalty approach (Q2076391) (← links)
- Probabilistic error analysis for some approximation schemes to optimal control problems (Q2173064) (← links)
- The Pontryagin maximum principle for solving Fokker-Planck optimal control problems (Q2181601) (← links)
- A generalized Newton method for a class of discrete-time linear complementarity systems (Q2184087) (← links)
- A power penalty method for discrete HJB equations (Q2192989) (← links)
- Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization (Q2203922) (← links)
- Power penalty method for solving HJB equations arising from finance (Q2288647) (← links)
- (Q3159226) (← links)
- A Penalty Scheme for Monotone Systems with Interconnected Obstacles: Convergence and Error Estimates (Q5232300) (← links)
- Numerical solution of Hamilton–Jacobi–Bellman equations by an exponentially fitted finite volume method (Q5475294) (← links)
