Difference-Quadrature Schemes for Nonlinear Degenerate Parabolic Integro-PDE (Q5392403)
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scientific article; zbMATH DE number 5876984
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Difference-Quadrature Schemes for Nonlinear Degenerate Parabolic Integro-PDE |
scientific article; zbMATH DE number 5876984 |
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Difference-Quadrature Schemes for Nonlinear Degenerate Parabolic Integro-PDE (English)
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11 April 2011
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integro- partial differential equation
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viscosity solution
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finite difference scheme
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error estimate
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stochastic optimal control
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Levy process
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Bellman equation
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numerical example
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monotone difference-quadrature schemes
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