A Convergent Difference Scheme for a Class of Partial Integro-Differential Equations Modeling Pricing under Uncertainty
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Publication:2796853
DOI10.1137/15M1025530zbMath1336.35348OpenAlexW2293827696MaRDI QIDQ2796853
Oleg Reichmann, Giuseppe Maria Coclite, Nils Henrik Risebro
Publication date: 30 March 2016
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/15m1025530
Viscosity solutions to PDEs (35D40) Fractional partial differential equations (35R11) Integro-partial differential equations (35R09)
Related Items (2)
On the Rate of Convergence for Monotone Numerical Schemes for Nonlocal Isaacs Equations ⋮ A difference method for the McKean-Vlasov equation
Cites Work
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