An efficient computational method for a class of free-boundary problems of nonlinear HJB PDEs

讲座时间 Datetime: 

星期五, 2019/05/24 - 从 14:30 到 16:00

地点 Venue: 

海滨红楼6号楼1楼会议室

报告人 Speaker: 

马敬堂 教授

单位 Affiliation: 

西南财经大学

报告摘要 Abstract: 

In this talk, I present an efficient computational method for solving the free-boundary problems of nonlinear HJB PDEs arising in financial investment. Using the transform, we recast the free-boundary problem of nonlinear PDEs into the linear ones and derive the asymptotic properties of the solutions and the associated free boundary and construct a global closed-form approximation to the free boundary, which greatly reduces the computational cost. Using the duality relation, we find the approximate formulas for the solutions and free boundary for the original problems. Numerical examples show the approximation is robust, accurate and fast. This is joint work with Jie Xing (SWUFE) and Harry Zheng (Imperial College London).