Numerical solution of quasi-variational inequalities arising in stochastic game theory

DOI10.1007/BF01182555zbMath0808.93062MaRDI QIDQ1343722

I. D. Mayergoyz, S. A. Belbas

Publication date: 31 January 1995

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

rate of convergencefinite-difference approximationHamilton-Jacobi equationscontinuous-time Markov processesstochastic gamequasi- variational inequalitiesstability of the finite-difference schemes

Mathematics Subject Classification ID

Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Finite difference methods for boundary value problems involving PDEs (65N06) Probabilistic games; gambling (91A60)

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Cites Work

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