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12/06/2021
On Discrete-Time Approximations to Infinite Horizon Differential Games
In this paper we study a discrete-time semidiscretization of an infinite...
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11/14/2021
Optimal bounds for numerical approximations of infinite horizon problems based on dynamic programming approach
In this paper we get error bounds for fully discrete approximations of i...
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03/09/2021
A pseudospectral method for Option Pricing with Transaction Costs under Exponential Utility
This paper concerns the design of a Fourier based pseudospectral numeric...
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09/24/2018