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A fitted finite volume method for stochastic optimal control Problems - MaRDI portal

A fitted finite volume method for stochastic optimal control Problems

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Publication:6335168

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DOI10.3934/MATH.2021186zbMath1525.91179arXiv2002.08464MaRDI QIDQ6335168

Christelle Dleuna Nyoumbi, Antoine Tambue

Publication date: 19 February 2020

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

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