Browsing Mathematics (Faculty of) by Subject "viscosity solution"
Now showing items 1-2 of 2
-
Numerical Methods for Continuous Time Mean Variance Type Asset Allocation
(University of Waterloo, 2010-04-19)Many optimal stochastic control problems in finance can be formulated in the form of Hamilton-Jacobi-Bellman (HJB) partial differential equations (PDEs). In this thesis, a general framework for solutions of HJB PDEs in ... -
Numerical Methods for Optimal Stochastic Control in Finance
(University of Waterloo, 2008-06-17)In this thesis, we develop partial differential equation (PDE) based numerical methods to solve certain optimal stochastic control problems in finance. The value of a stochastic control problem is normally identical to the ...