A Stochastic Approximation for Fully Nonlinear Free Boundary Problems
نویسندگان
چکیده
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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عنوان ژورنال:
- CoRR
دوره abs/1109.5752 شماره
صفحات -
تاریخ انتشار 2011