finite element like scheme




A finite element like scheme for integro-partial differential Hamilton-Jacobi-Bellman equations

FREE-DOWNLOAD [PDF] F Camilli… – SIAM J. Numer. Anal, 2009
Abstract. We construct a finite element like scheme for fully non-linear integro-partial differ- ential
equations arising in optimal control of jump-processes. Special cases of these equations include
optimal portfolio and option pricing equations in Finance. The schemes are monotone