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- W3106017595 abstract "Abstract For solving the regime switching utility maximization, Fu et al. (Eur J Oper Res 233:184–192, 2014) derive a framework that reduce the coupled Hamilton–Jacobi–Bellman (HJB) equations into a sequence of decoupled HJB equations through introducing a functional operator. The aim of this paper is to develop the iterative finite difference methods (FDMs) with iteration policy to the sequence of decoupled HJB equations derived by Fu et al. (2014). The convergence of the approach is proved and in the proof a number of difficulties are overcome, which are caused by the errors from the iterative FDMs and the policy iterations. Numerical comparisons are made to show that it takes less time to solve the sequence of decoupled HJB equations than the coupled ones." @default.
- W3106017595 created "2020-11-23" @default.
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- W3106017595 date "2020-11-17" @default.
- W3106017595 modified "2023-09-29" @default.
- W3106017595 title "Finite Difference Methods for the Hamilton–Jacobi–Bellman Equations Arising in Regime Switching Utility Maximization" @default.
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- W3106017595 doi "https://doi.org/10.1007/s10915-020-01352-4" @default.
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