Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations

DOI10.1016/j.apnum.2016.01.001zbMath1382.65256arXiv1503.05864OpenAlexW1500103439MaRDI QIDQ256114

Peter A. I. Forsyth, Christoph Reisinger

Publication date: 9 March 2016

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.05864

zbMATH Keywords

viscosity solutionsfully nonlinear PDEsmean variancemonotone approximation schemespiecewise constant policy time steppinguncertain volatility model

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Discrete approximations in optimal control (49M25)

Related Items (13)

Numerical methods for dynamic Bertrand oligopoly and American options under regime switching ⋮ Probabilistic error analysis for some approximation schemes to optimal control problems ⋮ High-order filtered schemes for time-dependent second order HJB equations ⋮ Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization ⋮ Continuity of cost in Borkar control topology and implications on discrete space and time approximations for controlled diffusions under several criteria ⋮ Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization ⋮ Robust stochastic control modeling of dam discharge to suppress overgrowth of downstream harmful algae ⋮ A simplified stochastic optimization model for logistic dynamics with control-dependent carrying capacity ⋮ A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables ⋮ Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems ⋮ Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps ⋮ Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint ⋮ A Numerical Scheme for the Quantile Hedging Problem

Uses Software

• pchip

Cites Work

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