Numerical Approximation of a System of Hamilton–Jacobi–Bellman Equations Arising in Innovation Dynamics

Autor:	Banas, Lubomir, Dawid, Herbert, Randrianasolo, Tsiry Avisoa, Storn, Johannes, Wen, Xingang
Rok vydání:	2022
Předmět:	Computational Mathematics Numerical Analysis Computational Theory and Mathematics Applied Mathematics General Engineering Software Theoretical Computer Science
Zdroj:	Journal of Scientific Computing. 92
ISSN:	1573-7691 0885-7474
DOI:	10.1007/s10915-022-01892-x
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ec5a5a1ec673bb53b6f538ce3a6cdeee https://doi.org/10.1007/s10915-022-01892-x Zobrazit plný text záznamu Full text from SpringerLink