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CONVERGENCE OF A FINITE DIFFERENCE SCHEME TO WEAK SOLUTIONS OF THE SYSTEM OF PARTIAL DIFFERENTIAL EQUATIONS ARISING IN MEAN FIELD GAMES

Mean field-type models describing the limiting behavior of stochastic differential games as the number of players tends to +∞ were recently introduced by Lasry and Lions. Under suitable assumptions, ...
JSTOR Daily

NUMERICAL APPROXIMATION SCHEMES FOR MULTI-DIMENSIONAL WAVE EQUATIONS IN ASYMMETRIC SPACES

This is a preview. Log in through your library . Abstract We develop finite difference numerical schemes for a model arising in multi-body structures, previously analyzed by H. Koch and E. Zuazua, ...
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Numerical simulation and applications of the convection–diffusion–reaction equation with the radial basis function in a finite-difference mode

This paper develops two local mesh-free methods for designing stencil weights and spatial discretization, respectively, for parabolic partial differential equations (PDEs) of ...
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Alternating direction implicit finite difference schemes for the Heston-Hull-White partial differential equation

In this paper we investigate the effectiveness of alternating direction implicit (ADI) time-discretization schemes in the numerical solution of the three-dimensional Heston-Hull-White partial ...