A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance

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

Abstract

Abstract is missing.