@Article{NMTMA-17-2,
author = {Ma, Jingtang and Ma, Jianjun and Wu, Haofei},
title = {Penalized Schemes for Hamilton-Jacobi-Bellman Quasi-Variational Inequalities Arising in Regime Switching Utility Maximization with Optimal Stopping},
journal = {Numerical Mathematics: Theory, Methods and Applications},
year = {2024},
volume = {17},
number = {2},
pages = {404--428},
abstract = {<p style="text-align: justify;">The aim of this paper is to solve the Hamilton-Jacobi-Bellman (HJB)
quasi-variational inequalities arising in regime switching utility maximization with
optimal stopping. The HJB quasi-variational inequalities are penalized into the HJB
equations and the convergence of the viscosity solution of the penalized HJB equations to that of the HJB variational inequalities is proved. The finite difference
methods with iteration policy are used to solve the penalized HJB equations and
the convergence is proved. The approach is implemented via numerical examples
and the figures for the exercise boundaries and optimal strategies with sample paths
are sketched.</p>},
issn = {2079-7338},
doi = {https://doi.org/10.4208/nmtma.OA-2023-0094},
url = {https://global-sci.com/article/91265/penalized-schemes-for-hamilton-jacobi-bellman-quasi-variational-inequalities-arising-in-regime-switching-utility-maximization-with-optimal-stopping}
}