Penalty and penalty-like methods for nonlinear HJB PDEs (Q2139765)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Penalty and penalty-like methods for nonlinear HJB PDEs |
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Penalty and penalty-like methods for nonlinear HJB PDEs (English)
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19 May 2022
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partial differential equations
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Black-Scholes
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nonlinear iteration
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finite differences
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Crank-Nicolson
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control problem
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Hamilton-Jacobi-Bellman (HJB) equation
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transaction costs
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stock borrowing fees
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penalty methods
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