The Fréchet–Newton Scheme for SV-HJB: Stability Analysis via Fixed-Point Theory

This paper investigates the optimal portfolio control problem under a stochastic volatility model, whose dynamics are governed by a highly nonlinear Hamilton–Jacobi–Bellman equation. We employ a separable value function and introduce a novel exponential approximation technique to simplify the nonlin...

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主要な著者:	Mehran Paziresh, Karim Ivaz, Mariyan Milev
フォーマット:	Artigo
言語:	Inglês
出版事項:	MDPI AG 2026-01-01
シリーズ:	Axioms
主題:	optimal control Hamilton–Jacobi–Bellman (HJB) equation stochastic volatility model Fréchet derivative numerical Newton method fixed-point theorem
オンライン･アクセス:	https://www.mdpi.com/2075-1680/15/2/83
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