A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems
Numerical Analysis
2013-11-11 v4 Numerical Analysis
Probability
Computational Finance
Abstract
We present a stochastic numerical method for solving fully non-linear free boundary problems of parabolic type and provide a rate of convergence under reasonable conditions on the non-linearity.
Keywords
Cite
@article{arxiv.1109.5752,
title = {A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems},
author = {Erhan Bayraktar and Arash Fahim},
journal= {arXiv preprint arXiv:1109.5752},
year = {2013}
}
Comments
To appear in the journal "Numerical Methods for Partial Differential Equations"