Numerical solution of discretised HJB equations with applications in finance

Numerical solution of discretised HJB equations with applications in finance

<p>We consider the numerical solution of discretised Hamilton-Jacobi-Bellman (HJB) equations with applications in finance.</p><p>For the discrete linear complementarity problem arising in American option pricing, we study a policy iteration method. We show, analytically and numeric...

Disgrifiad llawn

Manylion Llyfryddiaeth
Prif Awdur:	Witte, J
Awduron Eraill:	Reisinger, C
Fformat:	Traethawd Ymchwil
Iaith:	English
Cyhoeddwyd:	2011
Pynciau:	Mathematics

Eitemau Tebyg

A PENALTY METHOD FOR THE NUMERICAL SOLUTION OF HAMILTON-JACOBI-BELLMAN (HJB) EQUATIONS IN FINANCE
gan: Witte, J, et al.
Cyhoeddwyd: (2011)

PENALTY METHODS FOR THE SOLUTION OF DISCRETE HJB EQUATIONS-CONTINUOUS CONTROL AND OBSTACLE PROBLEMS
gan: Witte, J, et al.
Cyhoeddwyd: (2012)

A Preconditioned Policy–Krylov Subspace Method for Fractional Partial Integro-Differential HJB Equations in Finance
gan: Xu Chen, et al.
Cyhoeddwyd: (2024-05-01)

Application of Asymptotic Analysis of a High-Dimensional HJB Equation to Portfolio Optimization
gan: Lei Hu
Cyhoeddwyd: (2023-01-01)

Discontinuous Galerkin discretisation in time of the second-order hyperbolic PDEs
gan: Shao, A
Cyhoeddwyd: (2022)

Efficient discretisation of stochastic differential equations
gan: Fukasawa, M, et al.
Cyhoeddwyd: (2019)

The peridynamic equation and its spatial discretisation
gan: Etienne Emmrich, et al.
Cyhoeddwyd: (2007-03-01)

Numerical solutions to a class of stochastic partial differential equations arising in finance
gan: Bujok, K, et al.
Cyhoeddwyd: (2013)

High-order filtered schemes for time-dependent second order HJB equations
gan: Bokanowski, O, et al.
Cyhoeddwyd: (2016)

High-order filtered schemes for time-dependent second order HJB equations
gan: Bokanowski, O, et al.
Cyhoeddwyd: (2017)

NUMERICAL DISCRETISATION OF BUILT STRUCTURES ASSUMPTION AND REALITY
gan: Marc Gutermann, et al.
Cyhoeddwyd: (2016-12-01)

An analysis of discretisation methods for ordinary differential equations
gan: Pitcher, N, et al.
Cyhoeddwyd: (1980)

Free boundary value problems and hjb equations for the stochastic optimal control of elasto-plastic oscillators
gan: Lauriere M., et al.
Cyhoeddwyd: (2019-01-01)

A mixed finite-element discretisation of the shallow-water equations
gan: J. Kent, et al.
Cyhoeddwyd: (2023-02-01)

An analytical adaptive optimal control approach without solving HJB equation for nonlinear systems with input constraints
gan: Zahra Tavanaei Sereshki, et al.
Cyhoeddwyd: (2024-07-01)

Discretisation Aspects of and Numerical Simulations with Higher-Order Gradient Models
gan: Askes, Harm
Cyhoeddwyd: (2002-08-01)

Forward-Backward Sweep Method for the System of HJB-FP Equations in Memory-Limited Partially Observable Stochastic Control
gan: Takehiro Tottori, et al.
Cyhoeddwyd: (2023-01-01)

Sequential and Parallel Methods for Numerical Solutions of Delay Differential Equations
gan: Ishak, Fuziyah
Cyhoeddwyd: (2009)

Stability analysis and numerical results for some schemes discretising 2D nonconstant coefficient advection–diffusion equations
gan: Appadu Appanah Rao, et al.
Cyhoeddwyd: (2024-03-01)

Discretisations and preconditioners for magnetohydrodynamics models
gan: Laakmann, F
Cyhoeddwyd: (2022)

Regularised discretisations obtained from first‐kind Fredholm operator equations
gan: George Fikioris
Cyhoeddwyd: (2021-03-01)

Numerical solution of integrals and nonlinear integral equations by wavelets
gan: Abdul Sathar, Mohammad Hasan
Cyhoeddwyd: (2016)

Numerical Solution of Nonlinear Reaction–Advection–Diffusion Equation
gan: Singh, Anup, et al.
Cyhoeddwyd: (2019)

Géovisualisation des discrétisations : une petite application pédagogique
gan: Laurent Jégou

MAT518 – Numerical Solution of Differential Equations
gan: PPSM, Pusat Pengajian Sains Matematik
Cyhoeddwyd: (2022)

HJB-INEQUALITIES IN ESTIMATING REACHABLE SETS OF A CONTROL SYSTEM UNDER UNCERTAINTY
gan: Tatiana F. Filippova
Cyhoeddwyd: (2022-07-01)

Numerical solution for fractionalorder logistic equation
gan: Kaharuddin, Liyana Nadhira
Cyhoeddwyd: (2021)

Numerical solution of fractional partial differential equations by spectral methods
gan: Kanwal, Afshan
Cyhoeddwyd: (2019)

Numerical solution of stochastic differential equation in finance /
gan: Tou, Huong Yien, et al.
Cyhoeddwyd: (2010)

Convergence Rate for a Curse-of-Dimensionality-Free Method for a Class of HJB PDEs
gan: Kluberg, Lionel J., et al.
Cyhoeddwyd: (2010)

Mathematical programming and the numerical solution of linear equations /
gan: 203822 Rust, Bert W. Q., et al.
Cyhoeddwyd: (1972)

Estimates for solutions to the Dysthe equation and numerical simulations of walking droplets in harmonic potentials
gan: Kurianski, Kristin Marie-Dettmers.
Cyhoeddwyd: (2019)

Discretisation of Hodge Laplacians in the elasticity complex
gan: Aznaran, FRA
Cyhoeddwyd: (2022)

Discretisation and Product Distributions in Ring-LWE
gan: Murphy Sean, et al.
Cyhoeddwyd: (2020-11-01)

Discretisations, Constraints and Diffeomorphisms in Quantum Gravity
gan: Benjamin Bahr, et al.
Cyhoeddwyd: (2012-01-01)

L∞-error estimates of finite element methods with Euler time discretization scheme for an evolutionary HJB equations with nonlinear source terms
gan: Salah Boulaaras, et al.
Cyhoeddwyd: (2017-03-01)

A NUMERICAL SOLUTION OF A HELMHOLTZ EQUATION USING BOUNDARY ELEMENTS
gan: Solekhudin, Imam, et al.
Cyhoeddwyd: (2010)

A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities
gan: Reisinger, C, et al.
Cyhoeddwyd: (2021)

Numerical schemes for stochastic hybrid control problems in finance
gan: Zhang, Y
Cyhoeddwyd: (2021)

Tighter MIP formulations for the discretised unit commitment problem with min-stop ramping constraints
gan: Nicolas Dupin
Cyhoeddwyd: (2017-03-01)