Convergence of meshfree collocation methods for fully nonlinear parabolic equations
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It is proved that the convergence of meshfree collocation methods for the terminal value problems of fully nonlinear parabolic partial differential equations in the framework of viscosity solutions can be proved.Abstract:
We prove the convergence of meshfree collocation methods for the terminal value problems of fully nonlinear parabolic partial differential equations in the framework of viscosity solutions, provided that the basis function approximations of the terminal condition and the nonlinearities are successful at each time step. A numerical experiment with a radial basis function demonstrates the convergence property.read more
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Hamilton–Jacobi–Bellman Quasi-Variational Inequality arising in an environmental problem and its numerical discretization
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Kernel-based collocation methods for Zakai equations
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Kernel-based collocation methods for Zakai equations
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Inverse stochastic optimal controls
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