A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities
We propose a class of numerical schemes for nonlocal HJB variational inequalities (HJBVIs) with monotone nonlinearities arising from mixed optimal stopping and control of processes with infinite activity jumps, where the objective is specified by a monotone recursive preference. The solution and fre...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Elsevier
2021
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