Mean field-type models describing the limiting behavior of stochastic differential games as the number of players tends to +∞ were recently introduced by Lasry and Lions. Under suitable assumptions, ...

This is a preview. Log in through your library . Abstract A finite difference scheme for the generalized nonlinear Schrödinger equation with variable coefficients is developed. The scheme is shown to ...

In this paper we investigate the effectiveness of alternating direction implicit (ADI) time-discretization schemes in the numerical solution of the three-dimensional Heston-Hull-White partial ...