Blar i HVL Open på forfatter "Dleuna Nyoumbi, Christelle"
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A fitted finite volume method for stochastic optimal control problems in finance
Dleuna Nyoumbi, Christelle; Tambue, Antoine (Peer reviewed; Journal article, 2021)In this article, we provide a numerical method based on fitted finite volume method to approximate the Hamilton-Jacobi-Bellman (HJB) equation coming from stochastic optimal control problems in one and two dimensional domain. ... -
A novel high dimensional fitted scheme for stochastic optimal control problems
Dleuna Nyoumbi, Christelle; Tambue, Antoine (Peer reviewed; Journal article, 2021)Stochastic optimal principle leads to the resolution of a partial differential equation (PDE), namely the Hamilton–Jacobi–Bellman (HJB) equation. In general, this equation cannot be solved analytically, thus numerical ...