2023
DOI: 10.3390/math11102346
|View full text |Cite
|
Sign up to set email alerts
|

A Generalized Finite Difference Method for Solving Hamilton–Jacobi–Bellman Equations in Optimal Investment

Abstract: This paper studies the numerical algorithm of stochastic control problems in investment optimization. Investors choose the optimal investment to maximize the expected return under uncertainty. The optimality condition, the Hamilton–Jacobi–Bellman (HJB) equation, satisfied by the value function and obtained by the dynamic programming method, is a partial differential equation coupled with optimization. One of the major computational difficulties is the irregular boundary conditions presented in the HJB equation… Show more

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...

Citation Types

0
0
0

Publication Types

Select...

Relationship

0
0

Authors

Journals

citations
Cited by 0 publications
references
References 41 publications
0
0
0
Order By: Relevance

No citations

Set email alert for when this publication receives citations?