Utility-maximizing consumption and investment strategies in closed form are unknown for realistic settings involving portfolio constraints, incomplete markets, and potentially a high number of state variables. Standard numerical methods are hard to implement in such cases. We propose a numerical...

This paper addresses the problem of finding an optimal dividend policy for a class of jump-diffusion processes. The jump component is a compound Poisson process with negative jumps, and the drift and diffusion components are assumed to satisfy some regularity and growth restrictions. Each...

The Forward-Backward Sweep Method is a numerical technique for solving optimal control problems. The technique is one of the indirect methods in which the differential equations from the Maximum Principle are numerically solved. After the method is briefly reviewed, two convergence theorems are...

Purpose – The purpose of the paper is to provide useful approximations for the computation of g‐renewal function, since no closed form solution of such a function is available Design/methodology/approach – One of the methods uses a simple identity to obtain an approximation. The second...

After reviewing the reasons to use solution methods in macroeconomics,this survey paper discusses diferent aspects relative to a rigorous use of the numerical output of such methods. Special attention is paid to suggestions that have been made to incorporate parameter uncertainty. Finally, the...

Avascular tumor growth model for multicellular spheroids is considered. The model is a moving boundary problem and consists of three types of cells. The governing equations are nonlinear hyperbolic and/or parabolic differential equations. Comparisons of the numerical solutions with the solution...

Quantification of baseflow to drainage ditches is essential in understanding flow dynamics in a watershed. The mass balance estimation for a stream section may not give an accurate measure of the baseflow during low-flow periods due to the lack of accuracy in flow measurements in the flumes....