Browsing Theses by Subject "policy iteration"
Now showing items 1-2 of 2
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Multigrid Methods for Hamilton-Jacobi-Bellman and Hamilton-Jacobi-Bellman-Isaacs Equations
(University of Waterloo, 2011-06-28)We propose multigrid methods for solving Hamilton-Jacobi-Bellman (HJB) and Hamilton-Jacobi-Bellman-Isaacs (HJBI) equations. The methods are based on the full approximation scheme. We propose a damped-relaxation method as ... -
Numerical Methods for Pricing a Guaranteed Minimum Withdrawal Benefit (GMWB) as a Singular Control Problem
(University of Waterloo, 2011-08-23)Guaranteed Minimum Withdrawal Benefits(GMWB) have become popular riders on variable annuities. The pricing of a GMWB contract was originally formulated as a singular stochastic control problem which results in a Hamilton ...