scientific article; zbMATH DE number 5052223
zbMATH Open1191.91052MaRDI QIDQ5486561FDOQ5486561
Authors: Christophe Berthelot, Mireille Bossy, Denis Talay 
Publication date: 11 September 2006
Full work available at URL: http://ebooks.worldscinet.com/ISBN/9789812702852/9789812702852_0001.html
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Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with randomness, stochastic partial differential equations (35R60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Financial applications of other theories (91G80)
Cited In (4)
- Stochastic representations of derivatives of solutions of one-dimensional parabolic variational inequalities with Neumann boundary conditions
- A priori error estimates for reduced order models in finance
- Analysis of Quantization Error in Financial Pricing via Finite Difference Methods
- Numerical solution of variational inequalities: localization with Dirichlet conditions
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