A fitted finite volume method for stochastic optimal control problems in finance (Q2144798)
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scientific article; zbMATH DE number 7543260
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A fitted finite volume method for stochastic optimal control problems in finance |
scientific article; zbMATH DE number 7543260 |
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A fitted finite volume method for stochastic optimal control problems in finance (English)
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17 June 2022
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stochastic optimal control
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dynamic programming
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HJB equations
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finite volume method
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finite difference method
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degenerate parabolic operator
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proper operator
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viscosity solutions
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