Seminar Event Detail


Financial/Actuarial Mathematics

Date:  Wednesday, March 21, 2018
Location:  B844 East Hall (4:00 PM to 5:00 PM)

Title:  Convergence of approximation schemes for weakly nonlocal second order equations

Abstract:   That a monotone, stable, and consistent scheme converges to the viscosity solution of a fully nonlinear second order local equation satisfying a comparison principle is a seminal result in the viscosity theory. We extend these ideas in a very general manner to weakly nonlocal equations and apply our results to obtain convergent schemes for finite and infinite-horizon equations arising from impulse control, including a new "stochastic semi-Lagrangian" scheme that is fully explicit, unconditionally stable, trivially monotone in higher dimensions, and embarrassingly parallel.

Joint work with Erhan Bayraktar and George Labahn.

Files:


Speaker:  Parsiad Azimzadeh
Institution:  UM

Event Organizer:     

 

Edit this event (login required).
Add new event (login required).
For access requests and instructions, contact math-webmaster@umich.edu

Back to previous page
Back to UM Math seminars/events page.