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

zbMATH Keywords

penalizationoptimal investmentmonotone nonlinearityHJB variational inequalitiessemi-smooth Newton methodsnon-Lipschitz Epstein-Zin preferences

Mathematics Subject Classification ID

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)

Related Items (2)

Penalty and penalty-like methods for nonlinear HJB PDEs ⋮ Error Estimates of Penalty Schemes for Quasi-Variational Inequalities Arising from Impulse Control Problems

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