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

J. Wang, P. A. Forsyth. Maximal Use of Central Differencing for Hamilton-Jacobi-Bellman PDEs in Finance. SIAM J. Numerical Analysis, 46(3):1580-1601, 2008. [doi]

Authors

J. Wang

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P. A. Forsyth

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