کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4644898 1632170 2016 21 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Piecewise constant policy approximations to Hamilton–Jacobi–Bellman equations
ترجمه فارسی عنوان
تقریبی خطی ثابت به هملتون معادلات جکوبیا بلمن
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات محاسباتی
چکیده انگلیسی

An advantageous feature of piecewise constant policy timestepping for Hamilton–Jacobi–Bellman (HJB) equations is that different linear approximation schemes, and indeed different meshes, can be used for the resulting linear equations for different control parameters. Standard convergence analysis suggests that monotone (i.e., linear) interpolation must be used to transfer data between meshes. Using the equivalence to a switching system and an adaptation of the usual arguments based on consistency, stability and monotonicity, we show that if limited, potentially higher order interpolation is used for the mesh transfer, convergence is guaranteed. We provide numerical tests for the mean-variance optimal investment problem and the uncertain volatility option pricing model, and compare the results to published test cases.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Numerical Mathematics - Volume 103, May 2016, Pages 27–47
نویسندگان
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