A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems

Erhan Bayraktar and Arash Fahim

Papers from arXiv.org

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.

Date: 2011-09, Revised 2013-11
New Economics Papers: this item is included in nep-cmp
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