On the convergence of monotone schemes for path-dependent PDEs
type: Item
instance of: scholarly article
title: On the convergence of monotone schemes for path-dependent PDEs
zbMATH Open document ID: 1377.65077
author: Zhenjie Ren
author: Xiaolu Tan
published in: Stochastic Processes and their Applications
publication date: 2017-06-22T00:00:00Z
full work available at URL: https://arxiv.org/abs/1504.01872
Mathematics Subject Classification ID: 65K10
Mathematics Subject Classification ID: 93E03
Mathematics Subject Classification ID: 93C20
Mathematics Subject Classification ID: 93B40
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H15
Mathematics Subject Classification ID: 35D40
zbMATH DE Number: 6734592
zbMATH Keywords: monotone schemes
zbMATH Keywords: viscosity solution
zbMATH Keywords: path-dependent PDE
zbMATH Keywords: convergence
zbMATH Keywords: non-Markovian stochastic control problems
MaRDI profile type: Publication
OpenAlex ID: W4297854194
arXiv ID: 1504.01872
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DOI: 10.1016/J.SPA.2016.10.002
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description: scientific article