A PENALTY METHOD FOR THE NUMERICAL SOLUTION OF HAMILTON-JACOBI-BELLMAN (HJB) EQUATIONS IN FINANCE
We present a simple and easy-to-implement method for the numerical solution of a rather general class of Hamilton-Jacobi-Bellman (HJB) equations. In many cases, classical finite difference discretizations can be shown to converge to the unique viscosity solutions of the considered problems. However,...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2011
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