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The paper deals with robust and accurate numerical solution methods for the nonlinear Hamilton–Jacobi–Bellman partial differential equation (PDE), which Numerical solution of the ...
Y. HUANG, P. A. FORSYTH, G. LABAHN, COMBINED FIXED POINT AND POLICY ITERATION FOR HAMILTON-JACOBI-BELLMAN EQUATIONS IN FINANCE, SIAM Journal on Numerical Analysis, Vol. 50, No. 4 (2012), pp. 1861-1882 ...
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