Numerical approximation of a system of Hamilton-Jacobi-Bellman equations arising in innovation dynamics
Banas L, Dawid H, Randrianasolo TA, Storn J, Wen X (2022)
Journal of Scientific Computing 92: 54.
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| Veröffentlicht | Englisch
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Abstract / Bemerkung
We consider a system of fully nonlinear partial differential equations that corresponds to the Hamilton–Jacobi–Bellman equations for the value functions of an optimal innovation investment problem of a monopoly firm facing bankruptcy risk. We compare several algorithms for the numerical solution of the considered problem: the collocation method, the finite difference method, WENO method and the adaptive finite element method. We discuss implementation issues for the considered schemes and perform numerical studies for different model parameters to assess their performance.
Erscheinungsjahr
2022
Zeitschriftentitel
Journal of Scientific Computing
Band
92
Art.-Nr.
54
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ISSN
0885-7474
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Open-Access-Publikationskosten wurden durch die Universität Bielefeld im Rahmen des DEAL-Vertrags gefördert.
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https://pub.uni-bielefeld.de/record/2964034
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Banas L, Dawid H, Randrianasolo TA, Storn J, Wen X. Numerical approximation of a system of Hamilton-Jacobi-Bellman equations arising in innovation dynamics. Journal of Scientific Computing. 2022;92: 54.
Banas, L., Dawid, H., Randrianasolo, T. A., Storn, J., & Wen, X. (2022). Numerical approximation of a system of Hamilton-Jacobi-Bellman equations arising in innovation dynamics. Journal of Scientific Computing, 92, 54. https://doi.org/10.1007/s10915-022-01892-x
Banas, Lubomir, Dawid, Herbert, Randrianasolo, Tsiry Avisoa, Storn, Johannes, and Wen, Xingang. 2022. “Numerical approximation of a system of Hamilton-Jacobi-Bellman equations arising in innovation dynamics”. Journal of Scientific Computing 92: 54.
Banas, L., Dawid, H., Randrianasolo, T. A., Storn, J., and Wen, X. (2022). Numerical approximation of a system of Hamilton-Jacobi-Bellman equations arising in innovation dynamics. Journal of Scientific Computing 92:54.
Banas, L., et al., 2022. Numerical approximation of a system of Hamilton-Jacobi-Bellman equations arising in innovation dynamics. Journal of Scientific Computing, 92: 54.
L. Banas, et al., “Numerical approximation of a system of Hamilton-Jacobi-Bellman equations arising in innovation dynamics”, Journal of Scientific Computing, vol. 92, 2022, : 54.
Banas, L., Dawid, H., Randrianasolo, T.A., Storn, J., Wen, X.: Numerical approximation of a system of Hamilton-Jacobi-Bellman equations arising in innovation dynamics. Journal of Scientific Computing. 92, : 54 (2022).
Banas, Lubomir, Dawid, Herbert, Randrianasolo, Tsiry Avisoa, Storn, Johannes, and Wen, Xingang. “Numerical approximation of a system of Hamilton-Jacobi-Bellman equations arising in innovation dynamics”. Journal of Scientific Computing 92 (2022): 54.
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