Finite Difference Methods for the Hamilton-Jacobi-Bellman Equations Arising in Regime Switching Utility Maximization

Jingtang Ma, Jianjun Ma. Finite Difference Methods for the Hamilton-Jacobi-Bellman Equations Arising in Regime Switching Utility Maximization. J. Sci. Comput., 85(3):55, 2020. [doi]

Abstract

Abstract is missing.