This is a preview. Log in through your library . Abstract A strong maximum principle for second order parabolic equations has been introduced by L. Nirenberg. The present paper contains both strong ...
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, ...
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 ...
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