کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5130141 | 1378661 | 2017 | 25 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the convergence of monotone schemes for path-dependent PDEs
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
We propose a reformulation of the convergence theorem of monotone numerical schemes introduced by Zhang and Zhuo (2014) for viscosity solutions to path-dependent PDEs (PPDE), which extends the seminal work of Barles and Souganidis (1991) on the viscosity solution to PDE. We prove the convergence theorem under conditions similar to those of the classical theorem in Barles and Souganidis (1991). These conditions are satisfied, to the best of our knowledge, by all classical monotone numerical schemes in the context of stochastic control theory. In particular, the paper provides a unified approach to prove the convergence of numerical schemes for non-Markovian stochastic control problems, second order BSDEs, stochastic differential games, etc.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 127, Issue 6, June 2017, Pages 1738-1762
Journal: Stochastic Processes and their Applications - Volume 127, Issue 6, June 2017, Pages 1738-1762
نویسندگان
Zhenjie Ren, Xiaolu Tan,