A mixed finite element approximation of H² solutions to the fully nonlinear Hamilton-Jacobi-Bellman equation, with coefficients that satisfy the Cordes condition, is ...

Without resorting to dynamic programming, we determine the decumulation strategy for the holder of a defined contribution pension plan. We formulate this as a constrained stochastic optimal control ...

This is a preview. Log in through your library . Abstract We construct a finite element like scheme for fully nonlinear integro-partial differential equations arising in optimal control of ...

We present efficient partial differential equation (PDE) methods for continuous-time mean-variance portfolio allocation problems when the underlying risky asset follows a stochastic volatility process ...

The study of evolutionary dynamics has increasingly drawn upon sophisticated mathematical frameworks to model the adaptive processes of populations. In recent decades, Hamilton-Jacobi equations have ...