A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone drivers

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S. Howison, C. Reisinger and J.H. Witte, The effect of nonsmooth payoffs on the penalty approximation of American options , SIAM J. Financ. Math. 4 (2013) pp. 539–574

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R. Dumitrescu, M.-C. Quenez and A. Sulèm, Mixed generalized Dynkin game and stochastic control in a Markovian framework , Stochastics, 89 (2016), pp. 400–429