Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory

@article{Briani2004ConvergenceON,
  title={Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory},
  author={Maya Briani and Claudia La Chioma and Roberto Natalini},
  journal={Numerische Mathematik},
  year={2004},
  volume={98},
  pages={607-646}
}
Maya Briani1, Claudia La Chioma2, Roberto Natalini3 1 Universitá di Roma “La Sapienza”, Dipartimento per le Decisioni Economiche e Finanziarie, Via del Castro Laurenziano, 00161 Roma, Italy; e-mail: m.briani@iac.cnr.it 2 Universitá di Roma “La Sapienza”, Dipartimento di Matematica Pura ed Applicata, Piazzale Aldo Moro, 2, 00161 Roma, Italy; e-mail: c.lachioma@iac.cnr.it 3 Istituto per le Applicazioni del Calcolo “Mauro Picone”, Consiglio Nazionale delle Ricerche, Viale del Policlinico, 137… CONTINUE READING

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