Penalty and penalty-like methods for nonlinear HJB PDEs

DOI10.1016/j.amc.2022.127015OpenAlexW4226269424WikidataQ114210911 ScholiaQ114210911MaRDI QIDQ2139765

Christina C. Christara, Ruining Wu

Publication date: 19 May 2022

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2022.127015

zbMATH Keywords

finite differencespartial differential equationstransaction costscontrol problempenalty methodsBlack-ScholesCrank-Nicolsonnonlinear iterationHamilton-Jacobi-Bellman (HJB) equationstock borrowing fees

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Newton-type methods (49M15) 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) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Limit equations of adaptive Erlangization and their application to environmental management

Cites Work

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