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A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance.

Jan Hendrik WitteChristoph Reisinger
Published in: SIAM J. Numer. Anal. (2011)
Keyphrases
  • numerical solution
  • numerical methods
  • finite difference
  • learning algorithm
  • mathematical model
  • high order
  • differential equations