A finite element like scheme for integro-partial differential hamilton-jacobi-bellman equations

SIAM Journal on Numerical Analysis

Volumn 47, Issue 4, 2009, Pages 2407-2431

  Camilll, Fabio ^a   Jakobsen, Espen R ^b  

^a UNIVERSITY OF L'AQUILA   (Italy)

^b NORWEGIAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Norway)

Author keywords

Error estimate; Integro partial differential equation; L vy process; Numerical scheme; Viscosity solution

Indexed keywords

DEGENERATE EQUATION; ERROR BOUND; ERROR ESTIMATE; FINITE ELEMENT; GENERAL SITUATION; HAMILTON JACOBI BELLMAN EQUATION; INTEGRAL TERMS; INTEGRO-PARTIAL DIFFERENTIAL EQUATION; MULTIPLE DIMENSIONS; NONLINEAR INTEGRO-PARTIAL DIFFERENTIAL EQUATION; NUMERICAL SCHEME; OPTIMAL CONTROLS; OPTIMAL PORTFOLIOS; OPTION PRICING; PARTIAL DIFFERENTIAL; VISCOSITY SOLUTION;

COMPUTATIONAL FLUID DYNAMICS; ERROR ANALYSIS; IMAGE SEGMENTATION; OPTIMIZATION; PARTIAL DIFFERENTIAL EQUATIONS; VISCOSITY;

NONLINEAR EQUATIONS;

EID: 67650481110     PISSN: 00361429     EISSN: None     Source Type: Journal    
DOI: 10.1137/080723144     Document Type: Article

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