Penalized schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities arising in regime switching utility maximization with optimal stopping

DOI10.4208/nmtma.oa-2023-0094MaRDI QIDQ6662399

Jingtang Ma, Haofei Wu, Jianjun Ma

Publication date: 14 January 2025

Published in: Numerical Mathematics: Theory, Methods and Applications (Search for Journal in Brave)

zbMATH Keywords

optimal stoppingstochastic controlregime switchingfinite difference methodsutility maximizationHJB variational inequalitiesiteration policy

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical analysis or methods applied to Markov chains (65C40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

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