We consider a non-linear PDE that appears in a number of contexts including a one-way CSA, CVA with risky closeout, option pricing with differential borrowing and lending rates, accounting-consistent valuation, and constrained cash supply. We show that its solution is given as the minimum of...

Dynamic programming is the essential tool in dynamic economic analysis. Problems such as portfolio allocation for individuals and optimal economic growth are typical examples. Numerical methods typically approximate the value function. Recent work has focused on making numerical methods more...