Accurate Semi-Lagrangian Time Stepping for Stochastic Optimal Control Problems with Application to the Valuation of Natural Gas Storage

DOI10.1137/110853546zbMath1282.65175OpenAlexW1992937134MaRDI QIDQ2873136

Antony Ware

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/110853546

zbMATH Keywords

stochastic optimal controlsplitting methodssemi-Lagrangian methodsFourier methodsstorage valuation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Financial applications of other theories (91G80) Numerical aspects of the method of characteristics for initial value and initial-boundary value problems involving PDEs (65M25) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Numerical methods for trigonometric approximation and interpolation (65T40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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