A Finite Element Like Scheme for Integro-Partial Differential Hamilton–Jacobi–Bellman Equations (Q3584607)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Finite Element Like Scheme for Integro-Partial Differential Hamilton–Jacobi–Bellman Equations |
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A Finite Element Like Scheme for Integro-Partial Differential Hamilton–Jacobi–Bellman Equations (English)
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30 August 2010
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integro-partial differential equation
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viscosity solution
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finite element method scheme
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Levy-process
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jump model error estimates
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Markov-process with jumps
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Hamilton-Jacobi-Bellman equations
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dynamic programming
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financial markets
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Stock prices
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stochastic optimal control
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convergence
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