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arxiv: 1109.5752 · v4 · pith:ZF56U74Anew · submitted 2011-09-27 · 🧮 math.NA · cs.NA· math.PR· q-fin.CP

A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems

classification 🧮 math.NA cs.NAmath.PRq-fin.CP
keywords boundaryfreefullyparabolicproblemsstochasticapproximationconditions
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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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