HAMILTON-JACOBI-BELLMAN方程的混合元方法  

THE MIXED FINITE ELEMENT METHOD FOR HAMILTON-JACOBI-BELLMAN EQUATIONS

作　　者：顾海明[1] 

机构地区：[1]青岛化工学院计算机系,青岛266042

出　　处：《高等学校计算数学学报》2001年第2期101-107,共7页Numerical Mathematics A Journal of Chinese Universities

基　　金：国家教委博士点基金资助项目

摘　　要：We consider general problems of Mathematical finance and the associated Hamilton Jacobi Bellman equations. The mixed finite element is used. The semidiscrete and the fulldiscrete finite element approximation are considered. Optimal error estimates in L ∞(L 2) are demonstrated.We consider general problems of Mathematical finance and the associated Hamilton Jacobi Bellman equations. The mixed finite element is used. The semidiscrete and the fulldiscrete finite element approximation are considered. Optimal error estimates in L ∞(L 2) are demonstrated.

关 键 词：混合有限元法 随机微分方程 抛物型偏微分方程 金融数学 全离散 半离散 HJB方程 有限元格式 先验估计 

分 类 号：O241.82[理学—计算数学] O211.63[理学—数学]