A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables

DOI10.1016/j.matcom.2018.06.013OpenAlexW2816445332WikidataQ129564890 ScholiaQ129564890MaRDI QIDQ1997321

Yuta Yaegashi, Hidekazu Yoshioka

Publication date: 2 March 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2018.06.013

zbMATH Keywords

variational inequalityfinite difference schemefree boundarystochastic differential gamesingular stochastic control

Mathematics Subject Classification ID

Mathematical economics (91Bxx)

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