Combined Fixed Point and Policy Iteration for Hamilton--Jacobi--Bellman Equations in Finance

DOI10.1137/100812641zbMath1250.91101OpenAlexW1987604344MaRDI QIDQ3168502

Yiqing Huang, Peter A. I. Forsyth, George Labahn

Publication date: 31 October 2012

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

Full work available at URL: https://semanticscholar.org/paper/9f2ca103bf6dceb4d0093d60f8f0a699a4a91b00

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Control/observation systems governed by partial differential equations (93C20) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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Numerical Approximation of a Cash-Constrained Firm Value with Investment Opportunities ⋮ A comparison of iterated optimal stopping and local policy iteration for American options under regime switching ⋮ Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization ⋮ Nonlinear Parabolic Equations Arising in Mathematical Finance ⋮ A fixed-point policy-iteration-type algorithm for symmetric nonzero-sum stochastic impulse control games ⋮ A policy iteration algorithm for the American put option and free boundary control problems ⋮ A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables ⋮ The Optimal Interaction between a Hedge Fund Manager and Investor ⋮ A Convergent Difference Scheme for a Class of Partial Integro-Differential Equations Modeling Pricing under Uncertainty ⋮ Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton-Jacobi-Bellman equation ⋮ A TRANSFORMATION METHOD FOR SOLVING THE HAMILTON–JACOBI–BELLMAN EQUATION FOR A CONSTRAINED DYNAMIC STOCHASTIC OPTIMAL ALLOCATION PROBLEM

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