A Finite Element Like Scheme for Integro-Partial Differential Hamilton–Jacobi–Bellman Equations-Reference-Cited by-同舟云学术

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A Finite Element Like Scheme for Integro-Partial Differential Hamilton–Jacobi–Bellman Equations

Published:2009-01 Issue:4 Volume:47 Page:2407-2431
ISSN:0036-1429
Container-title:SIAM Journal on Numerical Analysis
language:en
Short-container-title:SIAM J. Numer. Anal.

Author:

Camilli Fabio,Jakobsen Espen R.

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Numerical Analysis,Applied Mathematics,Computational Mathematics

Link

http://epubs.siam.org/doi/pdf/10.1137/080723144

Reference29 articles.

1. Accurate Evaluation of European and American Options Under the CGMY Process

2. Approximations of small jumps of Lévy processes with a view towards simulation

3. Backward stochastic differential equations and integral-partial differential equations

4. Second-order elliptic integro-differential equations: viscosity solutions' theory revisited

5. On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations

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3. Analysis of a Narrow-Stencil Finite Difference Method for Approximating Viscosity Solutions of Fully Nonlinear Second Order Parabolic PDEs;Journal of Scientific Computing;2024-05-02

4. A space-time spectral order sinc-collocation method for the fourth-order nonlocal heat model arising in viscoelasticity;Applied Mathematics and Computation;2023-11

5. On Numerical Approximations of Fractional and Nonlocal Mean Field Games;Foundations of Computational Mathematics;2022-06-03

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