Penalty Methods for the Solution of Discrete HJB Equations -- Continuous Control and Obstacle Problems

Economy – Quantitative Finance – Computational Finance

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

31 Pages, 7 Figures

Scientific paper

10.1137/110835840

In this paper, we present a novel penalty approach for the numerical solution of continuously controlled HJB equations and HJB obstacle problems. Our results include estimates of the penalisation error for a class of penalty terms, and we show that variations of Newton's method can be used to obtain globally convergent iterative solvers for the penalised equations. Furthermore, we discuss under what conditions local quadratic convergence of the iterative solvers can be expected. We include numerical results demonstrating the competitiveness of our methods.

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

Rating

Penalty Methods for the Solution of Discrete HJB Equations -- Continuous Control and Obstacle Problems does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Penalty Methods for the Solution of Discrete HJB Equations -- Continuous Control and Obstacle Problems, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Penalty Methods for the Solution of Discrete HJB Equations -- Continuous Control and Obstacle Problems will most certainly appreciate the feedback.

Rate now

     

Profile ID: LFWR-SCP-O-678280

  Search
All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.