Numerical Solution of a Parabolic Free Boundary Problem Arising in Statistical Decision Theory

  • Gary G. Sackett, GARY G. SACKETT
  • Published 2010


A parabolic free boundary problem which arises in a statistical decision setting is reduced to a free boundary problem for the heat equation which is amenable to numerical solution by the method of lines. An algorithm is given and the apparently globally converging results are compared with the asymptotic expansions of H. Chernoff and J. Breakwell… (More)


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