Iterative spectral methods for Hamilton-Jacobi-Bellman quasi-variational inequality in finance

A double integral generalizes the concept of a single-variable integral to functions of two variables, enabling the computation of the volume beneath a surface z = f(x, y) over a planar region R . For a rectangular region defined by a ≤ x ≤ b and c ≤ y ≤ d, and for functions continuous on this domain, the double integral can be evaluated as an iterated integral. This approach simplifies computation by reducing the problem to successive integrations with respect to one variable at a...

The method of Lagrange multipliers with two constraints is used to optimize a function subject to two independent constraints. In many applications, the objective function represents a quantity to be maximized or minimized, such as cost, area, distance, or energy. The two constraints represent requirements that the solution must satisfy, such as fixed volume, limited resources, or prescribed dimensions.For a function of three variables, each constraint forms a surface in three-dimensional space.

The first order operators using the del operator include the gradient, divergence and curl. Certain combinations of first order operators on a scalar or vector function yield second order expressions. Second-order expressions play a very important role in mathematics and physics. Some second order expressions include the divergence and curl of a gradient function, the divergence and curl of a curl function, and the gradient of a divergence function.
Consider a scalar function. The curl of its...

A silo with a cylindrical base, flat bottom, and hemispherical roof is a common design in agricultural and industrial storage due to its structural efficiency and ease of construction. Optimizing its dimensions to maximize storage capacity for a given amount of material—i.e., a fixed surface area—is a classic problem in applied calculus and engineering design. The key parameters are the radius r of the base and the height h of the cylindrical section.The total volume of the silo is obtained by...

A stone dropped into a still pond generates waves that propagate outward in circular patterns, creating a dynamic surface whose elevation depends on both position and time. At any given location, the water level oscillates as the wave passes, while at any fixed moment, the surface exhibits smooth, curved structures extending across space. This dual dependence requires a mathematical description that accounts for variation in multiple variables simultaneously.At a fixed point on the water...

In constrained optimization, the objective is to maximize or minimize a quantity while satisfying a fixed condition. A standard example is a rectangular pen built against a barn wall using 100 meters of fencing. Because the wall provides one side of the enclosure, only the other three sides require fencing. The problem is to find the dimensions that produce the greatest possible area.Let L represent the length parallel to the wall and W the width perpendicular to it. The area of the pen is A =...