A stochastic approximation for fully nonlinear free boundary parabolic problems

DOI10.1002/num.21841zbMath1297.65006arXiv1109.5752OpenAlexW2164137995MaRDI QIDQ5418783

Erhan Bayraktar, Arash Fahim

Publication date: 28 May 2014

Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1109.5752

zbMATH Keywords

rate of convergenceCauchy problemMonte Carlo methodsfree boundary problemsviscosity solutionsfully nonlinear partial differential equationspricing of the American options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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