A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables.
Hidekazu YoshiokaYuta YaegashiPublished in: Math. Comput. Simul. (2019)
Keyphrases
- control problems
- stochastic control
- variational inequalities
- finite difference
- optimal control
- reinforcement learning
- adaptive control
- partial differential equations
- sensitivity analysis
- finite element
- convex sets
- numerical solution
- brownian motion
- numerical analysis
- primal dual
- fixed point
- control strategy
- hamilton jacobi
- nash equilibrium
- mathematical model
- level set
- boundary conditions
- multiscale