Seminar series
Date
Fri, 19 Nov 2010
14:15
14:15
Location
DH 1st floor SR
Speaker
Guy Barles
Organisation
Universite Francois Rablelais
Abstract: describe several results on the convergence of approximation schemes for possibly degenerate, linear or nonlinear parabolic equations which apply in particular to equations arising in option pricing or portfolio management. We address both the questions of the convergence and the rate of convergence.