Maximal Use of Central Differencing for Hamilton-Jacobi-Bellman PDEs in Finance.

J. Wang Peter A. Forsyth

Published in: SIAM J. Numer. Anal. (2008)

Keyphrases

partial differential equations
hamilton jacobi bellman
computational intelligence
nonlinear systems
control problems
level set
numerical solution
anisotropic diffusion
optimal control
image enhancement
image denoising
differential equations