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"A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman ..."

Jan Hendrik Witte, Christoph Reisinger (2011)

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DOI: 10.1137/100797606

access: closed

type: Journal Article

metadata version: 2020-05-11

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Jan Hendrik Witte, Christoph Reisinger:
A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance. SIAM J. Numer. Anal. 49(1): 213-231 (2011)

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