Free boundary problems for nonlinear parabolic equations with nonlinear free boundary conditions
نویسندگان
چکیده
منابع مشابه
A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems
When the option pricing problem is of several dimensions, for example, basket options, deterministic methods such as finite difference are almost intractable; because the complexity increases exponentially with the dimension and one almost inevitably needs to use Monte Carlo simulations. Moreover, many problems in finance, for example, pricing in incomplete markets and portfolio optimization, l...
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An address delivered at the Ann Arbor meeting of the American Mathematical Society on November 29, 1969, by invitation of the Committee to Select Hour Speakers for Western Sectional Meetings; received by the editors April 9,1969. AMS 1969 subject classifications. Primary 3562, 3578.
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ژورنال
عنوان ژورنال: Journal of Mathematical Analysis and Applications
سال: 1979
ISSN: 0022-247X
DOI: 10.1016/0022-247x(79)90287-7