CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
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Publication:4698397
DOI10.1142/S0218202595000085zbMath0822.65056OpenAlexW2032056897MaRDI QIDQ4698397
Christian Daher, Marc Romano, Guy Barles
Publication date: 15 October 1995
Published in: Mathematical Models and Methods in Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0218202595000085
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Initial value problems for second-order parabolic equations (35K15)
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