A Survey of Some Applications of Probability and Stochastic Control Theory to Finite Difference Methods for Degenerate Elliptic and Parabolic Equations

DOI10.1137/1018112zbMath0351.60056OpenAlexW2052978404MaRDI QIDQ4121260

Publication date: 1976

Published in: SIAM Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1018112

Mathematics Subject Classification ID

Degenerate elliptic equations (35J70) Theoretical approximation in context of PDEs (35A35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Research exposition (monographs, survey articles) pertaining to partial differential equations (35-02) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Partial differential equations of mixed type and mixed-type systems of partial differential equations (35M99)

Related Items (5)

A sparse Markov chain approximation of LQ-type stochastic control problems. ⋮ Three ways to solve partial differential equations with neural networks — A review ⋮ Numerical convergence for the Bellman equation of stochastic optimal control with quadratic costs and constraints ⋮ Finite difference methods for the weak solutions of the Kolmogorov equation for the density of both diffusion and conditional diffusion processes ⋮ Approximations for functionals and optimal control problems on jump diffusion processes

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