Expectation-based positivity-preserving noncompact numerical schemes
Author:
Publisher
Science China Press., Co. Ltd.
Subject
General Mathematics
Link
https://engine.scichina.com/doi/pdf/C5F91A362ED348118D1E9AAF97E18DB3
Reference17 articles.
1. Barles G, Souganidis P E. Convergence of approximation schemes for fully nonlinear second order equations. Asymptot Anal, 1991, 4: 271-283.
2. Bonnans J F, Zidani H. Consistency of generalized finite difference schemes for the stochastic HJB equation. SIAM J Numer Anal, 2003, 41: 1008-1021.
3. Crandall M G, Lions P L. Convergent difference schemes for nonlinear parabolic equations and mean curvature motion. Numer Math, 1996, 75: 17-41.
4. Debrabant K, Jakobsen E R. Semi-Lagrangian schemes for linear and fully non-linear diffusion equations. Math Comp, 2013, 82: 1433-1462.
5. Duffy D J. Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach. Chichester: John Wiley $&$ Sons, 2006.
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