A stochastic approximation for fully nonlinear free boundary parabolic problems (Q5418783): Difference between revisions

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Latest revision as of 13:03, 8 July 2024

scientific article; zbMATH DE number 6298862
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English
A stochastic approximation for fully nonlinear free boundary parabolic problems
scientific article; zbMATH DE number 6298862

    Statements

    A stochastic approximation for fully nonlinear free boundary parabolic problems (English)
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    28 May 2014
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    free boundary problems
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    fully nonlinear partial differential equations
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    Monte Carlo methods
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    rate of convergence
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    viscosity solutions
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    pricing of the American options
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    Cauchy problem
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