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Proceedings ArticleDOI

Convergence of approximation schemes for fully nonlinear second order equations

TLDR
In this article, the convergence of a wide class of approximation schemes to the viscosity solution of fully nonlinear second-order elliptic or parabolic, possibly degenerate, partial differential equations is studied.
Abstract
The convergence of a wide class of approximation schemes to the viscosity solution of fully nonlinear second-order elliptic or parabolic, possibly degenerate, partial differential equations is studied It is proved that any monotone, stable, and consistent scheme converges (to the correct solution), provided that there exists a comparison principle for the limiting equation Several examples are given where the result applies >

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Citations
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Journal ArticleDOI

European option pricing with transaction costs

TL;DR: In this article, the authors consider the problem of pricing European options in a market model similar to the Black-Scholes one, except that proportional transaction charges are levied on all sales and purchases.
Book ChapterDOI

Shape From Shading

TL;DR: This chapter describes the main difficulties of the Shape From Shading problem and the most recent theoretical results and gives some examples of realistic modeling and of rigorous numerical methods.
Posted Content

A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

TL;DR: An explicit-implicit finite difference scheme which can be used to price European and barrier options in option pricing theory when the random evolution of the underlying asset is driven by a Levy process or, more generally, a time-inhomogeneous jump-diffusion process is proposed.
Journal ArticleDOI

Variable Resolution Discretization in Optimal Control

TL;DR: This paper evaluates the performance of a variety of splitting criteria on many benchmark problems, paying careful attention to their number-of-cells versus closeness-to-optimality tradeoff curves.
Journal ArticleDOI

Controlled diffusion processes

Vivek S. Borkar
- 03 Nov 2005 - 
TL;DR: In this article, the authors give an overview of the developments in controlled diffusion processes, emphasizing key results regarding existence of optimal controls and their characterization via dynamic programming for a variety of cost criteria and structural assumptions.
References
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Book

Elliptic Partial Differential Equations of Second Order

TL;DR: In this article, Leray-Schauder and Harnack this article considered the Dirichlet Problem for Poisson's Equation and showed that it is a special case of Divergence Form Operators.
Journal ArticleDOI

Viscosity solutions of Hamilton-Jacobi equations

TL;DR: In this article, the authors examined viscosity solutions of Hamilton-Jacobi equations, and proved the existence assertions by expanding on the arguments in the introduction concerning the relationship of the vanishing-viscosity method and the notion of viscoity solutions.
Book

Numerical Methods for Stochastic Control Problems in Continuous Time

TL;DR: In this paper, a Markov chain is used to approximate the solution of the optimal stochastic control problem for diffusion, reflected diffusion, or jump-diffusion models, and a general method for obtaining a useful approximation is given.
Journal ArticleDOI

Some Properties of Viscosity Solutions of Hamilton-Jacobi Equations.

TL;DR: In this paper, the authors introduced the notion of "viscosity solutions" of scalar nonlinear first order partial differential equations and proved several new facts and reproved various known results in a simpler manner.
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