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...

Полное описание

Библиографические подробности
Главный автор:	Witte, J
Другие авторы:	Reisinger, C
Формат:	Диссертация
Язык:	English
Опубликовано:	2011
Предметы:	Mathematics

Схожие документы

A PENALTY METHOD FOR THE NUMERICAL SOLUTION OF HAMILTON-JACOBI-BELLMAN (HJB) EQUATIONS IN FINANCE
по: Witte, J, и др.
Опубликовано: (2011)

PENALTY METHODS FOR THE SOLUTION OF DISCRETE HJB EQUATIONS-CONTINUOUS CONTROL AND OBSTACLE PROBLEMS
по: Witte, J, и др.
Опубликовано: (2012)

A Preconditioned Policy–Krylov Subspace Method for Fractional Partial Integro-Differential HJB Equations in Finance
по: Xu Chen, и др.
Опубликовано: (2024-05-01)

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

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

Efficient discretisation of stochastic differential equations
по: Fukasawa, M, и др.
Опубликовано: (2019)

The peridynamic equation and its spatial discretisation
по: Etienne Emmrich, и др.
Опубликовано: (2007-03-01)

Numerical solutions to a class of stochastic partial differential equations arising in finance
по: Bujok, K, и др.
Опубликовано: (2013)

High-order filtered schemes for time-dependent second order HJB equations
по: Bokanowski, O, и др.
Опубликовано: (2016)

High-order filtered schemes for time-dependent second order HJB equations
по: Bokanowski, O, и др.
Опубликовано: (2017)

NUMERICAL DISCRETISATION OF BUILT STRUCTURES ASSUMPTION AND REALITY
по: Marc Gutermann, и др.
Опубликовано: (2016-12-01)

An analysis of discretisation methods for ordinary differential equations
по: Pitcher, N, и др.
Опубликовано: (1980)

Free boundary value problems and hjb equations for the stochastic optimal control of elasto-plastic oscillators
по: Lauriere M., и др.
Опубликовано: (2019-01-01)

A mixed finite-element discretisation of the shallow-water equations
по: J. Kent, и др.
Опубликовано: (2023-02-01)

An analytical adaptive optimal control approach without solving HJB equation for nonlinear systems with input constraints
по: Zahra Tavanaei Sereshki, и др.
Опубликовано: (2024-07-01)

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

Forward-Backward Sweep Method for the System of HJB-FP Equations in Memory-Limited Partially Observable Stochastic Control
по: Takehiro Tottori, и др.
Опубликовано: (2023-01-01)

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

Stability analysis and numerical results for some schemes discretising 2D nonconstant coefficient advection–diffusion equations
по: Appadu Appanah Rao, и др.
Опубликовано: (2024-03-01)

Discretisations and preconditioners for magnetohydrodynamics models
по: Laakmann, F
Опубликовано: (2022)

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

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

Numerical Solution of Nonlinear Reaction–Advection–Diffusion Equation
по: Singh, Anup, и др.
Опубликовано: (2019)

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

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

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

Numerical solution for fractionalorder logistic equation
по: Kaharuddin, Liyana Nadhira
Опубликовано: (2021)

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

Numerical solution of stochastic differential equation in finance /
по: Tou, Huong Yien, и др.
Опубликовано: (2010)

Convergence Rate for a Curse-of-Dimensionality-Free Method for a Class of HJB PDEs
по: Kluberg, Lionel J., и др.
Опубликовано: (2010)

Mathematical programming and the numerical solution of linear equations /
по: 203822 Rust, Bert W. Q., и др.
Опубликовано: (1972)

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

Discretisation of Hodge Laplacians in the elasticity complex
по: Aznaran, FRA
Опубликовано: (2022)

Discretisation and Product Distributions in Ring-LWE
по: Murphy Sean, и др.
Опубликовано: (2020-11-01)

Discretisations, Constraints and Diffeomorphisms in Quantum Gravity
по: Benjamin Bahr, и др.
Опубликовано: (2012-01-01)

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

A NUMERICAL SOLUTION OF A HELMHOLTZ EQUATION USING BOUNDARY ELEMENTS
по: Solekhudin, Imam, и др.
Опубликовано: (2010)

A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities
по: Reisinger, C, и др.
Опубликовано: (2021)

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

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