A stochastic approximation for fully nonlinear free boundary parabolic problems (Q5418783)
From MaRDI portal
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
28 May 2014
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
0 references
0 references
0 references
