Quick Computation of Upper and Lower bounds for Discretised Min-Max Equations
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Thu, 17/05/2012 13:00 |
Jan Witte |
Mathematical Finance Internal Seminar  |
DH 1st floor SR |
| Min-Max equations, also called Isaacs equations, arise from many applications, eg in game theory or mathematical finance. For their numerical solution, they are often discretised by finite difference methods, and, in a second step, one is then faced with a non-linear discrete system. We discuss how upper and lower bounds for the solution to the discretised min-max equation can easily be computed. | |||