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A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance
HJB Equation Numerical Solution Penalty Method
2010/10/21
We present a simple and easy to implement method for the numerical solution of a rather general class of Hamilton-Jacobi-Bellman (HJB) equations. In many cases, the considered problems have only a vi...
Weakly nonlinear analysis of the Hamilton-Jacobi-Bellman equation arising from pension savings management
Hamilton–Jacobi–Bellman equation weakly nonlinear analysis
2010/11/1
The main purpose of this paper is to analyze solutions to a fully nonlinear parabolic equation arising from the problem of optimal portfolio construction. We show how the problem of optimal stock to b...