A Penalty Method for the Numerical Solution of Hamilton–Jacobi–Bellman (HJB) Equations in Finance

DOI10.1137/100797606zbMath1233.65064arXiv1008.0401OpenAlexW3106125835MaRDI QIDQ3091798

Jan Hendrik Witte, Christoph Reisinger

Publication date: 14 September 2011

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1008.0401

zbMATH Keywords

convergence analysisviscosity solutionnumerical solutionHJB equationpenalty method

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)

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