Browsing Institutt for datateknologi, elektroteknologi og realfag by Subject "finite volume method"
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A fitted finite volume method for stochastic optimal control problems in finance
(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. ...