A stochastic approximation for fully nonlinear free boundary parabolic problems-Reference-Cited by-同舟云学术

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A stochastic approximation for fully nonlinear free boundary parabolic problems

Published:2013-12-03 Issue:3 Volume:30 Page:902-929
ISSN:0749-159X
Container-title:Numerical Methods for Partial Differential Equations
language:en
Short-container-title:Numer. Methods Partial Differential Eq.

Author:

Bayraktar Erhan¹,Fahim Arash²

Affiliation:

1. Department of Mathematics; University of Michigan; Ann Arbor Michigan 48109

2. Department of Mathematics; Florida State University; Tallahassee Florida 32306

Funder

National Science Foundation

Susan M. Smith Professorship

Publisher

Wiley

Subject

Applied Mathematics,Computational Mathematics,Numerical Analysis,Analysis

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/num.21841/fullpdf

Reference25 articles.

1. Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations;Bouchard;Stoch Process Appl,2004

2. A numerical scheme for BSDEs;Zhang;Ann Appl Probab,2004

3. Discrete-time approximation for continuously and discretely reflected BSDEs;Bouchard;Stoch Process Appl,2008

4. Representations and regularities for solutions to BSDEs with reflections;Ma;Stoch Process Appl,2005

5. A probabilistic numerical method for fully non-linear parabolic pdes;Fahim;Ann Appl Probab,2011

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2. Convergence of Weak Euler Approximation for Nondegenerate Stochastic Differential Equations Driven by Point and Martingale Measures;Journal of Theoretical Probability;2023-05-06

3. Discrete‐time approximation for stochastic optimal control problems under the G ‐expectation framework;Optimal Control Applications and Methods;2021-10-27

4. An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians;SIAM Journal on Control and Optimization;2020-01

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