Archive for April, 2005

Extreme rock weekend

26 April 2005


The plan

20 April 2005

In the maths section I would like to post notes about some of the things I’m currently working on. At the moment this is mainly Stochastic Control Theory and Bellman’s PDE.

More specifically, I’d like to find rate of convergence for finite difference schemes for some optimal stopping problems. Using control theory of course.

It turns out that N.V. Krylov has found a way of proving rate of convergence for finite difference approximations of Bellman’s PDE. So I can use his results (see N. V. Krylov, On the rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients and refences there).

First post

18 April 2005

Ok, so I have this blog thing going, let’s see how it works.

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