A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables
type: Item
instance of: scholarly article
title: A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables
author: Hidekazu Yoshioka
author: Yuta Yaegashi
published in: Mathematics and Computers in Simulation
publication date: 2021-03-02T00:00:00Z
Mathematics Subject Classification ID: 91Bxx
zbMATH DE Number: 7316567
zbMATH Keywords: finite difference scheme
zbMATH Keywords: singular stochastic control
zbMATH Keywords: variational inequality
zbMATH Keywords: free boundary
zbMATH Keywords: stochastic differential game
MaRDI profile type: Publication
full work available at URL: j.matcom.2018.06.013
OpenAlex ID: W2816445332
cites work: Irreversible capital accumulation with economic impact
cites work: On the option interpretation of rational harvesting planning
cites work: Singular stochastic control, linear diffusions, and optimal stopping: A class of solvable problems
cites work: Optimal investment policy and dividend payment strategy in an insurance company
cites work: The Semimartingale Structure of Reflecting Brownian Motion
cites work: Minimizing the probability of lifetime ruin under ambiguity aversion
cites work: Optimal harvesting of a spatial renewable resource
cites work: On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs
cites work: Worst-case portfolio optimization with proportional transaction costs
cites work: Explicit formula for the optimal government debt ceiling
cites work: An optimal dividend and investment control problem under debt constraints
cites work: An escape time interpretation of robust control
cites work: User’s guide to viscosity solutions of second order partial differential equations
cites work: A parameter robust Petrov-Galerkin scheme for advection-diffusion-reaction equations
cites work: Novel methods in computational finance
cites work: Controlled Markov processes and viscosity solutions
cites work: Uncertain dynamics, correlation effects, and robust investment decisions
cites work: A Hamilton-Jacobi-Bellman approach to optimal trade execution
cites work: Numerical Methods for Nonlinear PDEs in Finance
cites work: A semi-smooth Newton method for solving elliptic equations with gradient constraints
cites work: Optimal partially reversible investment with entry decision and general production function
cites work: Robust control and model misspecification
cites work: Primal-dual methods for the computation of trading regions under proportional transaction costs
cites work: Computational methods for quantitative finance. Finite element methods for derivative pricing
cites work: Numerical analysis of a free-boundary singular control problem in financial economics
cites work: Controlling risk exposure and dividends payout schemes: Insurance company example
cites work: Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)
cites work: Iterative methods for the solution of a singular control formulation of a GMWB pricing problem
cites work: Combined Fixed Point and Policy Iteration for Hamilton--Jacobi--Bellman Equations in Finance
cites work: On the non-existence of higher order monotone approximation schemes for HJB equations
cites work: Option pricing for a large trader with price impact and liquidity costs
cites work: Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme
cites work: Optimal Convergence Rate of the Binomial Tree Scheme for American Options with Jump Diffusion and Their Free Boundaries
cites work: Optimal harvesting from a population in a stochastic crowded environment
cites work: Robust Contracts in Continuous Time
cites work: Optimal dividend payments in the stochastic Ramsey model
cites work: Optimal harvesting in the stochastic logistic growth model with finite horizon
cites work: Numerical analysis of strongly nonlinear PDEs
cites work: Convergent Difference Schemes for Degenerate Elliptic and Parabolic Equations: Hamilton--Jacobi Equations and Free Boundary Problems
cites work: Applied stochastic control of jump diffusions.
cites work: An exact discretization for a transport equation with piecewise-constant coefficients and arbitrary source
cites work: An accurate discretization for an inhomogeneous transport equation with arbitrary coefficients and source
cites work: Continuous-time stochastic control and optimization with financial applications
cites work: Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations
cites work: On the Use of Policy Iteration as an Easy Way of Pricing American Options
cites work: An integrated project of fishery and poultry
cites work: Tools for computational finance.
cites work: On Optimal Harvesting Problems in Random Environments
cites work: An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem
cites work: Finding the optimal opening time of harvesting farmed fishery resources
cites work: Optimization model to start harvesting in stochastic aquaculture system
cites work: Robust stochastic control modeling of dam discharge to suppress overgrowth of downstream harmful algae
cites work: Singular stochastic control model for algae growth management in dam downstream
cites work: A computational scheme for uncertain volatility model in option pricing
cites work: Pricing American bond options using a penalty method
cites work: A penalty approximation method for a semilinear parabolic double obstacle problem
Wikidata QID: Q129564890
DOI: 10.1016/J.MATCOM.2018.06.013
description: scientific article; zbMATH DE number 7316567