Numerical Methods for Controlled Switching Diffusions.

Gang George Yin Caojin Zhang Le Yi Wang

Published in: LSSC (2017)

Keyphrases

numerical methods
partial differential equations
differential equations
diffusion processes
anisotropic diffusion
numerical solution
finite element method
finite difference method
level set method
computer architecture
approximation schemes
multiscale
level set
linear algebra
runge kutta
black scholes