Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance

By Peter A. Forsyth, George Labahn. 2007

205 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ad74f5866d52dc626821d644929fc0d5b5808521

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Peter A. Forsyth
2. Kenneth R. Vetzal
3. Alexander Schied
4. Steven Kou

In Finance

1. Peter A. Forsyth
2. Kenneth R. Vetzal
3. Jari Toivanen
4. Samuli Ikonen
5. S. Clift
6. George Labahn
7. Alexander Schied
8. Steven Kou

Citations in the corpus

• Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation (2010, unknown): “Using the methods in (Barles and Jakobsen, 2005; Forsyth and Labahn, 2008), this can be shown to follow from results in (Barles and Souganidis, 1991; Barles, 1997).”
• GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES (2008, unknown): “KEY WORDS: guaranteed minimum withdrawal benefit, variable annuities, singular stochastic control model, penalty approximation, optimal withdrawal policies”
• Numerical Methods for Nonlinear PDEs in Finance (2012, methodology): “We give a brief overview of the methods here—see [15] for more details.”
• A Hamilton-Jacobi-Bellman approach to optimal trade execution (2011, methodology): “4 Monotonicity Using the methods in [19] it is straightforward to show show that scheme (A.”