A Generalized Finite Difference Method for Solving Hamilton–Jacobi–Bellman Equations in Optimal Investment
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 o...
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| Principais autores: | , , , |
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| Format: | Artigo |
| Sprog: | Inglês |
| Udgivet: |
MDPI AG
2023-05-01
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| Serier: | Mathematics |
| Fag: | |
| Online adgang: | https://www.mdpi.com/2227-7390/11/10/2346 |
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