On an asymptotic viscosity solution property of solutions of discrete Hamilton–Jacobi–Bellman equations
Journal Article
·
· Computational and Applied Mathematics
- Hitotsubashi University, Graduate School of Economics (Japan)
In this paper, we show that a proper limit of solutions of discrete Hamilton–Jacobi–Bellman (dHJB) equations in a random walk model becomes a viscosity solution of a Hamilton–Jacobi–Bellman (HJB) variational inequality in a continuous-time geometric Brownian model. HJB variational inequalities are used to analyze singular stochastic control problems in mathematical finance. By our result, with the help of dHJB equations, we can obtain viscosity solutions of HJB variational inequalities which are usually identified with the value functions of the singular stochastic control problems.
- OSTI ID:
- 22769254
- Journal Information:
- Computational and Applied Mathematics, Journal Name: Computational and Applied Mathematics Journal Issue: 3 Vol. 37; ISSN 0101-8205
- Country of Publication:
- United States
- Language:
- English
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