Banas, Lubomir; Ferrari, Giorgio; Randrianasolo, Tsiry Avisoa: Numerical Appromixation of the Value of a Stochastic Differential Game with Asymmetric Information. In: . Jg.630. 2019, S. 28 ff.
Inhalt
- 1. Introduction
- 2. Assumptions and preliminaries
- 3. Numerical approximation
- 4. Regularity properties of the numerical approximation
- 4.1. Lipschitz continuity in p
- 4.2. Lipschitz continuity in x
- 4.3. Almost Hölder continuity in t
- 4.4. Monotonicity
- 5. Convergence of the numerical approximation
- 6. Implementation and Computational studies
- Acknowledgment
- References