Positivity Preserving Numerical Method for Optimal Portfolio in a Power Utility Two-Dimensional Regime-Switching Model

被引：2
|
作者：
Koleva, Miglena N. [1 ]
Vulkov, Lubin G. [1 ]
机构：
[1] Univ Ruse, 8 Studentska Str, Ruse 7017, Bulgaria
来源：
NUMERICAL METHODS AND APPLICATIONS, NMA 2018 | 2019年 / 11189卷
关键词：
D O I：
10.1007/978-3-030-10692-8_48
中图分类号：
TP301 [理论、方法];
学科分类号：
081202 ;
摘要：
We consider a two-dimensional regime switching model with power utility function. The problem is a system of parabolic partial differential equations with non-linear gradient terms and weakly coupled by non-linear exponential terms. We establish lower bounds for the solutions and then we construct an adequate finite difference method, preserving the qualitative properties of the exact solution. Finally, we present and discuss numerical results.
引用
收藏
页码：424 / 432
页数：9
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