Quasilinearization numerical scheme for fully nonlinear parabolic problems with applications in models of mathematical finance (Q2450494)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Quasilinearization numerical scheme for fully nonlinear parabolic problems with applications in models of mathematical finance |
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Quasilinearization numerical scheme for fully nonlinear parabolic problems with applications in models of mathematical finance (English)
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14 May 2014
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convergence
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fully nonlinear parabolic equation
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Hamilton-Jacobi-Bellman parabolic partial differential equation
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optimal investment
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pension investment
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quasilinearization method
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Rothe's method
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singular parabolic partial differential equation
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transaction cost
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