A stochastic approximation for fully nonlinear free boundary parabolic problems (Q5418783)
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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)
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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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