monotone scheme
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2017 ◽  
Vol 50 (1) ◽  
pp. 494-499 ◽  
Author(s):  
Daria Ghilli ◽  
Karl Kunisch
Keyword(s):  


2015 ◽  
Vol 25 (3) ◽  
pp. 1540-1580 ◽  
Author(s):  
Wenjie Guo ◽  
Jianfeng Zhang ◽  
Jia Zhuo


2014 ◽  
Vol 01 (01) ◽  
pp. 1450005 ◽  
Author(s):  
Jianfeng Zhang ◽  
Jia Zhuo

In this paper, we extend the results of the seminal work Barles and Souganidis (1991) to path dependent case. Based on the viscosity theory of path dependent PDEs, developed by Ekren et al. (2012a, 2012b, 2014a and 2014b), we show that a monotone scheme converges to the unique viscosity solution of the (fully nonlinear) parabolic path dependent PDE. An example of such monotone scheme is proposed. Moreover, in the case that the solution is smooth enough, we obtain the rate of convergence of our scheme.





2009 ◽  
Vol 115 (1) ◽  
pp. 1-44 ◽  
Author(s):  
Olivier Bokanowski ◽  
Nadia Megdich ◽  
Hasnaa Zidani




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