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A stochastic approximation for fully nonlinear free boundary parabolic problems |
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| Authors: | Erhan Bayraktar Arash Fahim |
| Institution: | 1. Department of Mathematics, University of Michigan, , Ann Arbor, Michigan, 48109;2. Department of Mathematics, Florida State University, , Tallahassee, Florida, 32306 |
| Abstract: | We present a stochastic numerical method for solving fully nonlinear free boundary problems of parabolic type and provide a rate of convergence under reasonable conditions on the nonlinearity. © 2013 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 30: 902–929, 2014 |
| Keywords: | free boundary problems fully nonlinear Partial Differential Equations Monte Carlo method rate of convergence viscosity solutions |