Numerical Approximation of a System of Hamilton–Jacobi–Bellman Equations Arising in Innovation Dynamics
Publikationen: Beitrag in Fachzeitschrift › Artikel › Forschung › (peer-reviewed)
Autoren
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- Universität Bielefeld
Abstract
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.
Details
Originalsprache | Englisch |
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Aufsatznummer | 54 |
Seiten (von - bis) | 92.2022 |
Seitenumfang | 35 |
Fachzeitschrift | Journal of Scientific Computing |
Jahrgang | 92.2022 |
DOIs | |
Status | Veröffentlicht - 4 Juli 2022 |