CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
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Publication:4698397
DOI10.1142/S0218202595000085zbMath0822.65056MaRDI QIDQ4698397
Guy Barles, Marc Romano, Christian Daher
Publication date: 15 October 1995
Published in: Mathematical Models and Methods in Applied Sciences (Search for Journal in Brave)
91G60: Numerical methods (including Monte Carlo methods)
65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs
65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs
35K15: Initial value problems for second-order parabolic equations
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