A fitted finite volume method for stochastic optimal control problems in finance

DOI10.3934/math.2021186OpenAlexW3118986153MaRDI QIDQ2144798

Antoine Tambue, Christelle Dleuna Nyoumbi

Publication date: 17 June 2022

Published in: AIMS Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/math.2021186

zbMATH Keywords

dynamic programmingfinite difference methodfinite volume methodstochastic optimal controlviscosity solutionsHJB equationsdegenerate parabolic operatorproper operator

Mathematics Subject Classification ID

Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Related Items (1)

Convergence of a fitted finite volume method for pricing two dimensional assets with stochastic volatilities

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