Maximal use of central differencing for Hamilton-Jacobi-Bellman PDEs in finance

SIAM Journal on Numerical Analysis

Volumn 46, Issue 3, 2008, Pages 1580-1601

  Wang, J ^a   Forsyth, P A ^a  

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Central differencing; Finance; Monotone scheme; Nonlinear Hamilton Jacobi Bellman partial differential equations; Stochastic control

Indexed keywords

COMPUTATIONAL FLUID DYNAMICS; IMAGE SEGMENTATION; MEATS; NONLINEAR EQUATIONS; PARTIAL DIFFERENTIAL EQUATIONS;

ALGEBRAIC EQUATIONS; CENTRAL DIFFERENCING; DRIFT TERMS; HAMILTON; MONOTONE SCHEME; NONLINEAR HAMILTON-JACOBI-BELLMAN PARTIAL DIFFERENTIAL EQUATIONS; NUMERICAL EXPERIMENTS; OBJECTIVE FUNCTIONS; RATES OF CONVERGENCES; STANDARD METHODS; STOCHASTIC CONTROL; VISCOSITY SOLUTIONS;

CONVERGENCE OF NUMERICAL METHODS;

EID: 55349092691     PISSN: 00361429     EISSN: None     Source Type: Journal    
DOI: 10.1137/060675186     Document Type: Article

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