A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems
Erhan Bayraktar, Arash Fahim
TL;DR
This paper introduces a stochastic numerical method for solving complex fully nonlinear free boundary parabolic problems, providing convergence rates under certain conditions, advancing computational techniques in this challenging area.
Contribution
The paper proposes a novel stochastic approximation method specifically designed for fully nonlinear free boundary parabolic problems, with proven convergence rates.
Findings
Method achieves reliable convergence under specified conditions
Provides theoretical rate of convergence for the numerical scheme
Enhances computational approaches for nonlinear free boundary problems
Abstract
We present a stochastic numerical method for solving fully non-linear free boundary problems of parabolic type and provide a rate of convergence under reasonable conditions on the non-linearity.
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Taxonomy
TopicsStochastic processes and financial applications · Financial Risk and Volatility Modeling · Insurance, Mortality, Demography, Risk Management