Grant: Discovery Grants Program - Individual
University of Waterloo
$86,000.00
Numerical methods for Hamilton Jacobi Bellman equations in computational finance
FY 2021-22
Summary
computational finance; Hamilton Jacobi Bellman equations; monotone schemes; optimal control; viscosity solutions
Program
Discovery Grants Program - Individual
Recipient
Location
Ontario, Canada
Recipient Type
Academia
Type
Grant
Source
NSERC's Awards Data
As published
Application id
RGPIN-2017-03760
Name nom
Forsyth, Peter
Department département
Computer Science
Organization id
33
Institution établissement
University of Waterloo
Province en
Ontario
Province fr
Ontario
Country en
CANADA
Country fr
CANADA
Fiscal year exercice financier
2021
Competition year année de concours
2017
Award amount
86000
Program id
RGPIN
Program name en
Discovery Grants Program - Individual
Program name fr
Programme de subventions à la découverte - individuelles
Group en
Discovery grants programs
Group fr
Programmes de subventions à la découverte
Committee code
1508
Committee name en
Mathematics and Statistics
Committee name fr
Mathématiques et statistique
Area of application code
802
Area of application group en
Information and communication services
Area of application group fr
Services d'information et de télécommunications
Area of application en
Information systems and technology
Area of application fr
Systèmes d'information et technologie de l'information
Research subject code
2955
Research subject group en
Applied mathematics
Research subject group fr
Mathématiques appliquées
Research subject en
Numerical analysis
Research subject fr
Analyse numérique
Installment
inst:5; 6
Partie
2
Nb partie
6
Application title
Numerical methods for Hamilton Jacobi Bellman equations in computational finance
Keyword
NSERC
Application summary
computational finance; Hamilton Jacobi Bellman equations; monotone schemes; optimal control; viscosity solutions
