Research graph
References from Iterative spectral methods for Hamilton-Jacobi-Bellman quasi-variational inequality in finance. Local targets link to admitted publications; unresolved targets remain external evidence.
10.1016/b978-0-12-780850-5.50052-6
10.1016/b978-0-12-780850-5.50052-6 · 1975 · External reference
10.1007/978-3-540-89500-8
10.1007/978-3-540-89500-8 · 2009 · External reference
Utility Maximization with Discretionary Stopping
10.1137/s0363012998346323 · 2000 · External reference
On the optimal stopping problem for one-dimensional diffusions
10.1016/s0304-4149(03)00076-0 · 2003 · External reference
Mixed optimal stopping and stochastic control problems with semicontinuous final reward for diffusion processes
2004 · External reference
An explicit solution for an optimal stopping/optimal control problem which models an asset sale
10.1214/07-aap511 · 2008 · External reference
Combined Fixed Point and Policy Iteration for Hamilton--Jacobi--Bellman Equations in Finance
10.1137/100812641 · 2012 · External reference
A stochastic control problem and related free boundaries in finance
10.3934/mcrf.2017021 · 2017 · External reference
Global Closed-Form Approximation of Free Boundary for Optimal Investment Stopping Problems
10.1137/18m1184850 · 2019 · External reference
New insights into population dynamics from the continuous McKendrick model
10.1016/j.physa.2026.131499 · 2026 · External reference
Optimal Investment Considerations for a Single Cohort Life Insurance Portfolio
10.3390/risks13120233 · 2025 · External reference
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
10.1093/rfs/6.2.327 · 1993 · External reference
A Spectral Element Method for Option Pricing Under Regime-Switching with Jumps
10.1007/s10915-020-01252-7 · 2020 · External reference
Volatility is rough
10.1080/14697688.2017.1393551 · 2018 · External reference
Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment
10.1137/17m1134068 · 2018 · External reference
Solving high-dimensional partial differential equations using deep learning
10.1073/pnas.1718942115 · 2018 · External reference
Deep optimal stopping
2019 · External reference
On the Convergence of Finite Element Methods for Hamilton--Jacobi--Bellman Equations
10.1137/110856198 · 2013 · External reference
Discontinuous Galerkin Finite Element Approximation of Hamilton--Jacobi--Bellman Equations with Cordes Coefficients
10.1137/130909536 · 2014 · External reference
Piecewise constant policy approximations to Hamilton–Jacobi–Bellman equations
10.1016/j.apnum.2016.01.001 · 2016 · External reference
Finite Difference Methods for the Hamilton–Jacobi–Bellman Equations Arising in Regime Switching Utility Maximization
2020 · External reference
Unresolved reference
External reference
Convergence of Implicit Schemes for Hamilton--Jacobi--Bellman Quasi-Variational Inequalities
10.1137/18m1171965 · 2018 · External reference
Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
10.1007/s10957-009-9559-7 · 2009 · External reference
A Robust Numerical Scheme For Pricing American Options Under Regime Switching Based On Penalty Method
10.1007/s10614-013-9361-3 · 2013 · External reference
10.1007/978-3-540-71041-7
10.1007/978-3-540-71041-7 · 2011 · External reference
10.1017/cbo9780511618352
10.1017/cbo9780511618352 · 2007 · External reference
10.1007/978-88-470-1071-0
10.1007/978-88-470-1071-0 · 2009 · External reference
Turnpike property and convergence rate for an investment model with general utility functions
10.1016/j.jedc.2014.09.025 · 2015 · External reference
