Probability methods for the convergence of finite difference approximations to partial differential-integral equations. II

DOI10.1016/0022-247X(74)90120-6zbMath0285.60047OpenAlexW2064206875MaRDI QIDQ1845439

Harold J. Kushner, Chen-Fu. Yu

Publication date: 1974

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-247x(74)90120-6

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic integral equations (60H20)

Related Items (4)

Numerical studies of the performance of an optimally controlled nonlinear stochastic oscillator ⋮ Optimal controls that maximize the probability of hitting a set of targets: A numerical study ⋮ Probability methods for convergence of approximations of integrodifferential equations ⋮ Approximations for functionals and optimal control problems on jump diffusion processes

Cites Work

• Probability limit theorems and the convergence of finite difference approximations of partial differential equations
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