On the convergence of monotone schemes for path-dependent PDE * - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Stochastic Processes and their Applications Année : 2016

On the convergence of monotone schemes for path-dependent PDE *

Résumé

We propose a reformulation of the convergence theorem of monotone numerical schemes introduced by Zhang and Zhuo [32] for viscosity solutions of path-dependent PDEs (PPDE), which extends the seminal work of Barles and Souganidis [1] on the viscosity solution of PDE. We prove the convergence theorem under conditions similar to those of the classical theorem in [1]. These conditions are satisfied, to the best of our knowledge, by all classical monotone numerical schemes in the context of stochastic control theory. In particular, the paper provides a unified approach to prove the convergence of numerical schemes for non-Markovian stochastic control problems, second order BSDEs, stochastic differential games etc.
Fichier principal
Vignette du fichier
1504.01872v1.pdf (300.31 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-01247002 , version 1 (20-12-2015)

Identifiants

Citer

Zhenjie Ren, Xiaolu Tan. On the convergence of monotone schemes for path-dependent PDE *. Stochastic Processes and their Applications, 2016. ⟨hal-01247002⟩
388 Consultations
99 Téléchargements

Altmetric

Partager

Gmail Mastodon Facebook X LinkedIn More