CPDO WITH FINITE TERMINATION: MAXIMAL RETURN UNDER CASH-IN AND CASH-OUT CONDITIONS

DOI10.1017/S1446181115000449zbMath1397.91589OpenAlexW2336785743MaRDI QIDQ5369441

Yuan Wu, Jin Liang, Xiao-Li Yang

Publication date: 17 October 2017

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1446181115000449

zbMATH Keywords

HJB equationoptimal leveragecash-incash-outCPDO

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Finite difference methods for boundary value problems involving PDEs (65N06) Credit risk (91G40)

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