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

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: A numerical scheme for BSDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Discrete-time approximation for continuously and discretely reflected BSDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Representations and regularities for solutions to BSDEs with reflections / rank
 
Normal rank
Property / cites work
 
Property / cites work: A probabilistic numerical method for fully nonlinear parabolic PDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hedging American contingent claims with constrained portfolios / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Multidimensional Controller-and-Stopper Games / rank
 
Normal rank
Property / cites work
 
Property / cites work: Valuing American Options by Simulation: A Simple Least-Squares Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3355178 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Error estimates for stochastic differential games: the adverse stopping case / rank
 
Normal rank
Property / cites work
 
Property / cites work: A rate of convergence for monotone finite difference approximations to fully nonlinear, uniformly elliptic PDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing early exercise contracts in incomplete markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convergent Difference Schemes for Degenerate Elliptic and Parabolic Equations: Hamilton--Jacobi Equations and Free Boundary Problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4396657 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies. / rank
 
Normal rank
Property / cites work
 
Property / cites work: The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Error Bounds for Monotone Approximation Schemes for Hamilton--Jacobi--Bellman Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: User’s guide to viscosity solutions of second order partial differential equations / rank
 
Normal rank

Latest revision as of 14:03, 8 July 2024

scientific article; zbMATH DE number 6298862
Language Label Description Also known as
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)
    0 references
    0 references
    0 references
    0 references
    28 May 2014
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    free boundary problems
    0 references
    fully nonlinear partial differential equations
    0 references
    Monte Carlo methods
    0 references
    rate of convergence
    0 references
    viscosity solutions
    0 references
    pricing of the American options
    0 references
    Cauchy problem
    0 references
    0 references
    0 references
    0 references
    0 references