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On the convergence of monotone schemes for path-dependent PDE

dc.contributor.authorRen, Zhenjie
dc.contributor.authorTan, Xiaolu
dc.date.accessioned2017-11-28T10:28:27Z
dc.date.available2017-11-28T10:28:27Z
dc.date.issued2017
dc.identifier.issn0304-4149
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17080
dc.language.isoenen
dc.subjectmonotone schemes
dc.subjectNumerical analysis
dc.subjectviscosity solution
dc.subjectpath-dependent PDE
dc.subject.ddc519en
dc.titleOn the convergence of monotone schemes for path-dependent PDE
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe 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.
dc.relation.isversionofjnlnameStochastic Processes and their Applications
dc.relation.isversionofjnlvol127
dc.relation.isversionofjnlissue6
dc.relation.isversionofjnldate2017
dc.relation.isversionofjnlpages1738-1762
dc.relation.isversionofdoi10.1016/j.spa.2016.10.002
dc.relation.isversionofjnlpublisherElsevier
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenon
dc.description.halcandidatenon
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2017-12-15T15:38:13Z


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