A stochastic approximation for fully nonlinear free boundary parabolic problems

DOI10.1002/num.21841zbMath1297.65006arXiv1109.5752MaRDI QIDQ5418783

Erhan Bayraktar, Arash Fahim

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

zbMATH Keywords

rate of convergence; Cauchy problem; Monte Carlo methods; free boundary problems; viscosity solutions; fully nonlinear partial differential equations; pricing of the American options

Mathematics Subject Classification ID

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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