A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities (Q2027590)
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scientific article; zbMATH DE number 7351721
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities |
scientific article; zbMATH DE number 7351721 |
Statements
A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities (English)
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27 May 2021
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HJB variational inequalities
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non-Lipschitz Epstein-Zin preferences
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monotone nonlinearity
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penalization
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semi-smooth Newton methods
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optimal investment
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