A Stochastic Approximation for Fully Nonlinear Free Boundary Problems

Details A Stochastic Approximation for Fully Nonlinear Free Boundary Problems A Stochastic Approximation for Fully Nonlinear Free Boundary Problems

2011-09-27

arxiv.org/abs/1109.5752v1

Mathematics

Numerical Analysis

Keywords: Free boundary problems, Monte-Carlo method, fully non-linear PDEs, viscosity solutions, rate of convergence

Scientific paper

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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