A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems
Erhan BayraktarArash Fahim
所有作者
Erhan BayraktarArash Fahim
文献摘要
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.