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A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems

We present a stochastic numerical method for solving fully non-linear free boundary problems of parabolic type and provide a rate of convergence under reasonable conditions on the non-linearity.
Year of publication:
2011-09
Authors: Bayraktar, Erhan ; Fahim, Arash
Institutions: arXiv.org
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application/pdf
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Type of publication: Book / Working Paper
Language: English
Source:
Persistent link: https://www.econbiz.de/10009323105
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