A stochastic approximation for fully nonlinear free boundary parabolic problems
DOI10.1002/num.21841zbMath1297.65006arXiv1109.5752MaRDI QIDQ5418783
Publication date: 28 May 2014
Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1109.5752
rate of convergence; Cauchy problem; Monte Carlo methods; free boundary problems; viscosity solutions; fully nonlinear partial differential equations; pricing of the American options
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
35R60: PDEs with randomness, stochastic partial differential equations
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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