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A stochastic approximation for fully nonlinear free boundary parabolic problems
Author(s) -
Bayraktar Erhan,
Fahim Arash
Publication year - 2014
Publication title -
numerical methods for partial differential equations
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.901
H-Index - 61
eISSN - 1098-2426
pISSN - 0749-159X
DOI - 10.1002/num.21841
Subject(s) - mathematics , nonlinear system , convergence (economics) , partial differential equation , boundary value problem , rate of convergence , boundary (topology) , free boundary problem , mathematical analysis , type (biology) , computer science , computer network , channel (broadcasting) , ecology , physics , quantum mechanics , economics , biology , economic growth
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