A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities
DOI10.1016/j.camwa.2021.04.011OpenAlexW3157744665MaRDI QIDQ2027590
Yu-Fei Zhang, Christoph Reisinger
Publication date: 27 May 2021
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1805.06255
penalizationoptimal investmentmonotone nonlinearityHJB variational inequalitiessemi-smooth Newton methodsnon-Lipschitz Epstein-Zin preferences
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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