Finite Difference Methods for the Hamilton–Jacobi–Bellman Equations Arising in Regime Switching Utility Maximization
Work
Year: 2020
Type: article
Abstract: For solving the regime switching utility maximization, Fu et al. (Eur J Oper Res 233:184–192, 2014) derive a framework that reduce the coupled Hamilton–Jacobi–Bellman (HJB) equations into a sequence ... more
Source: Journal of Scientific Computing
Authors Jingtang Ma, Jianjun Ma
Institution Southwestern University of Finance and Economics
Cites: 39
Cited by: 5
Related to: 10
FWCI: 0.944
Citation percentile (by year/subfield): 65.76
Subfield: Numerical Analysis
Field: Mathematics
Domain: Physical Sciences
Open Access status: hybrid
APC paid (est): $2,990
Funders National Natural Science Foundation of China, National Natural Science Foundation of China, Fundamental Research Funds for the Central Universities
Grant IDS 12071373, 11671323, JBK1805001