A Numerical Scheme for the Quantile Hedging Problem.

Cyril Bénézet Jean-François Chassagneux Christoph Reisinger

Published in: SIAM J. Financial Math. (2021)

Keyphrases

numerical scheme
partial differential equations
anisotropic diffusion
variational methods
level set
energy functional
finite difference
color image processing
fixed point
numerical solution
lie group
image processing
finite element
differential equations
numerical methods
numerical analysis
motion estimation