On the convergence of monotone schemes for path-dependent PDEs

DOI10.1016/j.spa.2016.10.002zbMath1377.65077arXiv1504.01872OpenAlexW4297854194MaRDI QIDQ2359701

Zhenjie Ren, Xiaolu Tan

Publication date: 22 June 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.01872

zbMATH Keywords

convergenceviscosity solutionmonotone schemespath-dependent PDEnon-Markovian stochastic control problems

Mathematics Subject Classification ID

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