{"id":"https://openalex.org/W2071383004","doi":"https://doi.org/10.1137/060675186","title":"Maximal Use of Central Differencing for Hamilton\u2013Jacobi\u2013Bellman PDEs in Finance","display_name":"Maximal Use of Central Differencing for Hamilton\u2013Jacobi\u2013Bellman PDEs in Finance","publication_year":2008,"publication_date":"2008-01-01","ids":{"openalex":"https://openalex.org/W2071383004","doi":"https://doi.org/10.1137/060675186","mag":"2071383004"},"language":"en","primary_location":{"id":"doi:10.1137/060675186","is_oa":false,"landing_page_url":"https://doi.org/10.1137/060675186","pdf_url":null,"source":{"id":"https://openalex.org/S203348814","display_name":"SIAM Journal on Numerical Analysis","issn_l":"0036-1429","issn":["0036-1429","1095-7170"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Numerical Analysis","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5057860231","display_name":"J. Wang","orcid":null},"institutions":[{"id":"https://openalex.org/I151746483","display_name":"University of Waterloo","ror":"https://ror.org/01aff2v68","country_code":"CA","type":"education","lineage":["https://openalex.org/I151746483"]}],"countries":["CA"],"is_corresponding":true,"raw_author_name":"J. Wang","raw_affiliation_strings":["(University of Waterloo)"],"affiliations":[{"raw_affiliation_string":"(University of Waterloo)","institution_ids":["https://openalex.org/I151746483"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5103261400","display_name":"Peter Forsyth","orcid":"https://orcid.org/0000-0001-7841-7891"},"institutions":[{"id":"https://openalex.org/I151746483","display_name":"University of Waterloo","ror":"https://ror.org/01aff2v68","country_code":"CA","type":"education","lineage":["https://openalex.org/I151746483"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"P. A. Forsyth","raw_affiliation_strings":["School of Computer Science, University of Waterloo, Waterloo ON, Canada N2L 3G1"],"affiliations":[{"raw_affiliation_string":"School of Computer Science, University of Waterloo, Waterloo ON, Canada N2L 3G1","institution_ids":["https://openalex.org/I151746483"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5057860231"],"corresponding_institution_ids":["https://openalex.org/I151746483"],"apc_list":null,"apc_paid":null,"fwci":3.1518,"has_fulltext":false,"cited_by_count":99,"citation_normalized_percentile":{"value":0.92403183,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":100},"biblio":{"volume":"46","issue":"3","first_page":"1580","last_page":"1601"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9987000226974487,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9987000226974487,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10360","display_name":"Fluid Dynamics and Turbulent Flows","score":0.9919999837875366,"subfield":{"id":"https://openalex.org/subfields/2206","display_name":"Computational Mechanics"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11829","display_name":"Mathematical Biology Tumor Growth","score":0.9872999787330627,"subfield":{"id":"https://openalex.org/subfields/2611","display_name":"Modeling and Simulation"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.7245479822158813},{"id":"https://openalex.org/keywords/discretization","display_name":"Discretization","score":0.7208532691001892},{"id":"https://openalex.org/keywords/viscosity-solution","display_name":"Viscosity solution","score":0.6598156094551086},{"id":"https://openalex.org/keywords/monotone-polygon","display_name":"Monotone polygon","score":0.6555035710334778},{"id":"https://openalex.org/keywords/hamilton\u2013jacobi-equation","display_name":"Hamilton\u2013Jacobi equation","score":0.6166459321975708},{"id":"https://openalex.org/keywords/convergence","display_name":"Convergence (economics)","score":0.5866703987121582},{"id":"https://openalex.org/keywords/partial-differential-equation","display_name":"Partial differential equation","score":0.5406745076179504},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5129920840263367},{"id":"https://openalex.org/keywords/bellman-equation","display_name":"Bellman equation","score":0.5115693211555481},{"id":"https://openalex.org/keywords/rate-of-convergence","display_name":"Rate of convergence","score":0.4308544099330902},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3103756904602051},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.2803049683570862},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.16485098004341125},{"id":"https://openalex.org/keywords/key","display_name":"Key (lock)","score":0.11964839696884155},{"id":"https://openalex.org/keywords/geometry","display_name":"Geometry","score":0.06951761245727539}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7245479822158813},{"id":"https://openalex.org/C73000952","wikidata":"https://www.wikidata.org/wiki/Q17007827","display_name":"Discretization","level":2,"score":0.7208532691001892},{"id":"https://openalex.org/C88731125","wikidata":"https://www.wikidata.org/wiki/Q7935676","display_name":"Viscosity solution","level":2,"score":0.6598156094551086},{"id":"https://openalex.org/C2834757","wikidata":"https://www.wikidata.org/wiki/Q4925424","display_name":"Monotone polygon","level":2,"score":0.6555035710334778},{"id":"https://openalex.org/C2778860007","wikidata":"https://www.wikidata.org/wiki/Q1060137","display_name":"Hamilton\u2013Jacobi equation","level":2,"score":0.6166459321975708},{"id":"https://openalex.org/C2777303404","wikidata":"https://www.wikidata.org/wiki/Q759757","display_name":"Convergence (economics)","level":2,"score":0.5866703987121582},{"id":"https://openalex.org/C93779851","wikidata":"https://www.wikidata.org/wiki/Q271977","display_name":"Partial differential equation","level":2,"score":0.5406745076179504},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5129920840263367},{"id":"https://openalex.org/C14646407","wikidata":"https://www.wikidata.org/wiki/Q1430750","display_name":"Bellman equation","level":2,"score":0.5115693211555481},{"id":"https://openalex.org/C57869625","wikidata":"https://www.wikidata.org/wiki/Q1783502","display_name":"Rate of convergence","level":3,"score":0.4308544099330902},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3103756904602051},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.2803049683570862},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.16485098004341125},{"id":"https://openalex.org/C26517878","wikidata":"https://www.wikidata.org/wiki/Q228039","display_name":"Key (lock)","level":2,"score":0.11964839696884155},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.06951761245727539},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C50522688","wikidata":"https://www.wikidata.org/wiki/Q189833","display_name":"Economic growth","level":1,"score":0.0},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1137/060675186","is_oa":false,"landing_page_url":"https://doi.org/10.1137/060675186","pdf_url":null,"source":{"id":"https://openalex.org/S203348814","display_name":"SIAM Journal on Numerical Analysis","issn_l":"0036-1429","issn":["0036-1429","1095-7170"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Numerical Analysis","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.216.4639","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.216.4639","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.scicom.uwaterloo.ca/~paforsyt/nonsmooth.pdf","raw_type":"text"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":33,"referenced_works":["https://openalex.org/W130211666","https://openalex.org/W197737967","https://openalex.org/W1513085673","https://openalex.org/W1569146716","https://openalex.org/W1596931553","https://openalex.org/W1964337460","https://openalex.org/W1964377184","https://openalex.org/W1969991893","https://openalex.org/W1993870237","https://openalex.org/W2004745280","https://openalex.org/W2004913923","https://openalex.org/W2022110236","https://openalex.org/W2027654260","https://openalex.org/W2032056897","https://openalex.org/W2032316144","https://openalex.org/W2034548366","https://openalex.org/W2036709538","https://openalex.org/W2039546575","https://openalex.org/W2044831824","https://openalex.org/W2063425102","https://openalex.org/W2067425358","https://openalex.org/W2076424721","https://openalex.org/W2084083498","https://openalex.org/W2087292112","https://openalex.org/W2097820864","https://openalex.org/W2113155572","https://openalex.org/W2115163964","https://openalex.org/W2145787319","https://openalex.org/W2161836471","https://openalex.org/W2177195156","https://openalex.org/W2213161892","https://openalex.org/W2470369492","https://openalex.org/W2470516129"],"related_works":["https://openalex.org/W1977330547","https://openalex.org/W1974495512","https://openalex.org/W2061850819","https://openalex.org/W1985696076","https://openalex.org/W1983345526","https://openalex.org/W4286890456","https://openalex.org/W2061585064","https://openalex.org/W2155501953","https://openalex.org/W1944838178","https://openalex.org/W2053122808"],"abstract_inverted_index":{"In":[0,25,41],"order":[1,42],"to":[2,5,43,51,88],"ensure":[3],"convergence":[4,62,83],"the":[6,9,22,45,64,76,89],"viscosity":[7],"solution,":[8],"standard":[10],"method":[11,32],"for":[12,21,84],"discretizing":[13],"Hamilton\u2013Jacobi\u2013Bellman":[14],"partial":[15],"differential":[16],"equations":[17],"uses":[18,34],"forward/backward":[19,92],"differencing":[20,93],"drift":[23],"term.":[24],"this":[26,85],"paper,":[27],"we":[28,49],"devise":[29],"a":[30,53],"monotone":[31],"which":[33],"central":[35],"weighting":[36],"as":[37,39],"much":[38],"possible.":[40],"solve":[44],"discretized":[46],"algebraic":[47],"equations,":[48],"have":[50],"maximize":[52],"possibly":[54],"discontinuous":[55],"objective":[56],"function":[57],"at":[58],"each":[59],"node.":[60],"Nevertheless,":[61],"of":[63,82,91],"overall":[65],"iteration":[66],"can":[67],"be":[68],"guaranteed.":[69],"Numerical":[70],"experiments":[71],"on":[72],"two":[73],"examples":[74],"from":[75],"finance":[77],"literature":[78],"show":[79],"higher":[80],"rates":[81],"approach":[86],"compared":[87],"use":[90],"only.":[94]},"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":5},{"year":2021,"cited_by_count":5},{"year":2020,"cited_by_count":8},{"year":2019,"cited_by_count":13},{"year":2018,"cited_by_count":5},{"year":2017,"cited_by_count":7},{"year":2016,"cited_by_count":8},{"year":2015,"cited_by_count":4},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":5},{"year":2012,"cited_by_count":21}],"updated_date":"2026-04-04T16:13:02.066488","created_date":"2025-10-10T00:00:00"}