24 citations · 35 across the 6 of their papers we have counts for
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math.NA2018★ 1 cited
An approximation scheme for variational inequalities with convex and coercive Hamiltonians
Shuo Huang
We propose an approximation scheme for a class of semilinear variational inequalities whose Hamiltonian is convex and coercive. The proposed scheme is a natural extension of a prev…
math.OC2018★ 1 cited
An approximation scheme for semilinear parabolic PDEs with convex and coercive Hamiltonians
Shuo Huang, Gechun Liang, Thaleia Zariphopoulou
We propose an approximation scheme for a class of semilinear parabolic equations that are convex and coercive in their gradients. Such equations arise often in pricing and portfoli…