The article proposes a monotone approximation scheme for G-equations, establishing convergence and convergence rate with error bounds. Applications include Peng's robust central limit theorem and Black-Scholes-Barenblatt equation. Theoretical foundation for G-distributed random variables. Monotone approximation schemes for viscosity solutions discussed. Literature review on monotone schemes provided. Applications to robust central limit theorem and Black-Scholes-Barenblatt equation detailed. Regularity estimates for solutions and approximation schemes presented.
לשפה אחרת
מתוכן המקור
arxiv.org
תובנות מפתח מזוקקות מ:
by Shuo Huang,G... ב- arxiv.org 03-28-2024
https://arxiv.org/pdf/1904.07184.pdfשאלות מעמיקות