scientific article; zbMATH DE number 4205918
zbMATH Open0729.65077MaRDI QIDQ3355178FDOQ3355178
Authors: Guy Barles, Panagiotis E. Souganidis
Publication date: 1991
Title of this publication is not available (Why is that?)
Recommendations
- scientific article; zbMATH DE number 1531766
- scientific article; zbMATH DE number 7694595
- scientific article; zbMATH DE number 579573
- Approximation of the solution of nonlinear second order integro-differential equations
- Approximations of solutions to some second order nonlinear differential equations
- scientific article; zbMATH DE number 3842279
- Full discretisation of second-order nonlinear evolution equations: strong convergence and applications
- Convergence of solutions to second-order gradient-like systems with analytic nonlinearities
- scientific article; zbMATH DE number 3921881
- On non-monotone approximation schemes for solutions of the second-order differential equations.
convergencecomparison principlestochastic differential gamesviscosity solutionnonlinear second order equationsmonotone, stable and consistent scheme
Differential games (aspects of game theory) (91A23) Nonlinear boundary value problems for linear elliptic equations (35J65) Nonlinear initial, boundary and initial-boundary value problems for linear parabolic equations (35K60) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Stochastic games, stochastic differential games (91A15)
Cited In (only showing first 100 items - show all)
- An ordered upwind method with precomputed stencil and monotone node acceptance for solving static convex Hamilton-Jacobi equations
- A semi-Lagrangian scheme for a degenerate second order mean field game system
- Value iteration convergence of \(\varepsilon\)-monotone schemes for stationary Hamilton-Jacobi equations
- Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations
- Fast sweeping methods for factored anisotropic eikonal equations: multiplicative and additive factors
- A monotone scheme for high-dimensional fully nonlinear PDEs
- A fast algorithm for the two dimensional HJB equation of stochastic control
- A stochastic control problem with delay arising in a pension fund model
- A model-free no-arbitrage price bound for variance options
- Optimal transportation under controlled stochastic dynamics
- Singular forward-backward stochastic differential equations and emissions derivatives
- A probabilistic numerical method for fully nonlinear parabolic PDEs
- Discontinuous Galerkin finite element methods for time-dependent Hamilton-Jacobi-Bellman equations with Cordes coefficients
- Sub-Riemannian mean curvature flow for image processing
- Some qualitative properties for geometric flows and its Euler implicit discretization
- Error estimates for the approximation of the effective Hamiltonian
- An approximation scheme for the effective Hamiltonian and applications
- The invariant region for the equations of nonisentropic gas dynamics
- Convergence framework for the second boundary value problem for the Monge-Ampère equation
- Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
- Duality and approximation of stochastic optimal control problems under expectation constraints
- A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
- Approximation of control problems involving ordinary and impulsive controls
- Convergence of the embedded mean-variance optimal points with discrete sampling
- Nonlinear Neumann boundary conditions for quasilinear degenerate elliptic equations and applications
- Axioms and fundamental equations of image processing
- Convergent Difference Schemes for Degenerate Elliptic and Parabolic Equations: Hamilton--Jacobi Equations and Free Boundary Problems
- Dividend maximization in a hidden Markov switching model
- The applications of partial integro-differential equations related to adaptive wavelet collocation methods for viscosity solutions to jump-diffusion models
- A direct verification argument for the Hamilton-Jacobi equation continuum limit of nondominated sorting
- Convergence of Runge-Kutta methods for nonlinear parabolic equations
- Finite time Merton strategy under drawdown constraint: a viscosity solution approach
- Guaranteed minimum withdrawal benefit in variable annuities
- Idempotent expansions for continuous-time stochastic control
- Mean value theorems for stochastic integrals
- A numerical scheme for the quantile hedging problem
- Numerical solution of two asset jump diffusion models for option valuation
- Discontinuous Galerkin finite element differential calculus and applications to numerical solutions of linear and nonlinear partial differential equations
- Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
- An iterative meshfree method for the elliptic monge–ampère equation in 2D
- Algorithmic trading with learning
- Numerical approximation for a portfolio optimization problem under liquidity risk and costs
- The flexible, extensible and efficient toolbox of level set methods
- An approximation scheme for stochastic controls in continuous time
- Convergence of a non-monotone scheme for Hamilton-Jacobi-Bellman equations with discontinuous initial data
- Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs
- Dynamic programming and error estimates for stochastic control problems with maximum cost
- Convergence of space-time discrete threshold dynamics to anisotropic motion by mean curvature
- Regular finite fuel stochastic control problems with exit time
- A Hamilton-Jacobi-Bellman approach to optimal trade execution
- Quasilinearization numerical scheme for fully nonlinear parabolic problems with applications in models of mathematical finance
- A convergent difference scheme for the infinity Laplacian: construction of absolutely minimizing Lipschitz extensions
- Finite difference methods for the infinity Laplace and \(p\)-Laplace equations
- Uniqueness to elliptic and parabolic Hamilton-Jacobi-Bellman equations with non-smooth boundary
- Optimal control of molecular dynamics using Markov state models
- Semi-Lagrangian schemes for linear and fully non-linear diffusion equations
- Numerical schemes and rates of convergence for the Hamilton-Jacobi equation continuum limit of nondominated sorting
- Approximation schemes for monotone systems of nonlinear second order partial differential equations: convergence result and error estimate
- Numerical solution of the optimal transportation problem using the Monge-Ampère equation
- Convergence of nonlocal threshold dynamics approximations to front propagation
- A probabilistic-numerical approximation for an obstacle problem arising in game theory
- Error estimates for approximation schemes of effective Hamiltonians arising in stochastic homogenization of Hamilton-Jacobi equations
- Utility maximization in an illiquid market in continuous time
- Discrete-time probabilistic approximation of path-dependent stochastic control problems
- Cascadic meshfree method for the elliptic Monge-Ampère equation
- Numerical schemes for multi phase quadrature domains
- Numerical schemes for investment models with singular transactions
- A deterministic-control-based approach to fully nonlinear parabolic and elliptic equations
- Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
- Verification by stochastic Perron's method in stochastic exit time control problems
- Convergent finite difference methods for one-dimensional fully nonlinear second order partial differential equations
- A multidimensional exponential utility indifference pricing model with applications to counterparty risk
- Directed last passage percolation with discontinuous weights
- Optimal trajectories of curvature constrained motion in the Hamilton-Jacobi formulation
- User’s guide to viscosity solutions of second order partial differential equations
- Continuous time mean-variance optimal portfolio allocation under jump diffusion: an numerical impulse control approach
- The Dirichlet Problem for Semilinear Second-Order Degenerate Elliptic Equations and Applications to Stochastic Exit Time Control Problems
- Stochastic target games and dynamic programming via regularized viscosity solutions
- A comparison theorem for a piecewise Lipschitz continuous Hamiltonian and application to Shape-from-Shading problems
- On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
- Discrete Methods for Fully Nonlinear Elliptic Equations
- An approximation scheme for the optimal control of diffusion processes
- The convex envelope is the solution of a nonlinear obstacle problem
- Convergence of Markov chain approximation on generalized HJB equation and its applications
- \(\mathcal{C}^{0}\) penalty methods for the fully nonlinear Monge-Ampère equation
- Zero-sum stochastic differential games without the Isaacs condition: random rules of priority and intermediate Hamiltonians
- Model-Independent Bounds for Asian Options: A Dynamic Programming Approach
- Convergent semi-explicit scheme to a non-linear eikonal system
- Local KPZ behavior under arbitrary scaling limits
- Continuous vs. discrete time: some computational insights
- McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
- On the numerical approximation of \(p\)-biharmonic and \(\infty\)-biharmonic functions
- Market making with alpha signals
- On asymptotic speed of solutions to level-set mean curvature flow equations with driving and source terms
- Unified analysis of discontinuous Galerkin and \(C^0\)-interior penalty finite element methods for Hamilton-Jacobi-Bellman and Isaacs equations
- A fixed-point policy-iteration-type algorithm for symmetric nonzero-sum stochastic impulse control games
- Finite element methods for isotropic Isaacs equations with viscosity and strong Dirichlet boundary conditions
- Executive stock option exercise with full and partial information on a drift change point
- A convergent finite difference method for optimal transport on the sphere
- Mathematical and numerical analyses of a stochastic impulse control model with imperfect interventions
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3355178)