Stochastic optimal principle leads to the resolution of a partial differential equation (PDE), namely the Hamilton-Jacobi-Bellman (HJB) equation. In general, this equation cannot be solved analytically, thus numerical algorithms are the only tools to provide accurate approximations. The aims of this paper is to introduce a novel fitted finite volume method to solve high dimensional degenerated HJB equation from stochastic optimal control problems in high dimension ($ n\geq 3$). The challenge here is due to the nature of our HJB equation which is a degenerated second-order partial differential equation coupled with an optimization problem. For such problems, standard scheme such as finite difference method losses its monotonicity and therefore the convergence toward the viscosity solution may not be guarantee. We discretize the HJB equation using the fitted finite volume method, well known to tackle degenerated PDEs, while the time discretisation is performed using the Implicit Euler scheme. We show that matrices resulting from spatial discretization and temporal discretization are M--matrices. Numerical results in finance demonstrating the accuracy of the proposed numerical method comparing to the standard finite difference method are provided.
翻译:软体最佳原则导致部分差异方程式(PDE)的解决,即汉密尔顿-Jacobi-Bellman(HJB)等方程式(PDE)的解决。一般而言,这个等式无法通过分析解决,因此数字算法是提供准确近似的唯一工具。本文的目的是采用新颖的适合的有限体积方法,从高维的软体极最佳控制问题中解决高维分解的HJB方程式(N\geq 3美元)。这里的挑战在于我们HJB方程式的性质,这是一个退化的二级部分差异方程式,加上一个优化的问题。对于这些问题,诸如定分法等标准公式丧失其单体性,因此与粘度解决方案的趋同可能无法保证。我们使用安装的有限体积法将HJB方程式分解开来解决高维度分解的HJB方程式,众所周知,而时间的分解是使用隐性 Euler 方案进行的。我们发现,由空间分解和时间分解产生的矩阵生成的矩阵是M-M-矩阵。在财务中可以证明拟议的数字方法与定数方法的精确性。