3 papers
math.NA2021
Finite Element Approximation of Hamilton-Jacobi-Bellman equations with nonlinear mixed boundary conditions
Bartosz Jaroszkowski, Max Jensen
We show strong uniform convergence of monotone P1 finite element methods to the viscosity solution of isotropic parabolic Hamilton-Jacobi-Bellman equations with mixed boundary cond…
q-fin.PR2021
Valuation of European Options under an Uncertain Market Price of Volatility Risk
Bartosz Jaroszkowski, Max Jensen
We propose a model to quantify the effect of parameter uncertainty on the option price in the Heston model. More precisely, we present a Hamilton-Jacobi-Bellman framework which all…
math.NA2021
Finite Element Methods for Isotropic Isaacs Equations with Viscosity and Strong Dirichlet Boundary Conditions
Bartosz Jaroszkowski, Max Jensen
We study monotone P1 finite element methods on unstructured meshes for fully non-linear, degenerately parabolic Isaacs equations with isotropic diffusions arising from stochastic g…