An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians
DOI10.1137/18M1198831zbMath1429.65217arXiv1801.00583OpenAlexW2999318420WikidataQ114074296 ScholiaQ114074296MaRDI QIDQ5208749
Gechun Liang, Thaleia Zariphopoulou, Shuo Huang
Publication date: 10 January 2020
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1801.00583
splittingFeynman-Kac formulaviscosity solutionsHopf-Lax formulaoptimal switching approximationshaking coefficients technique
Degenerate parabolic equations (35K65) Optimal stochastic control (93E20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Related Items (5)
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