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Mathematics of Computation

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Numerical solution of a parabolic free boundary problem arising in statistical decision theory


Author: Gary G. Sackett
Journal: Math. Comp. 25 (1971), 425-434
MSC: Primary 65N35
DOI: https://doi.org/10.1090/S0025-5718-1971-0300473-9
MathSciNet review: 0300473
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Abstract: A parabolic free boundary problem which arises in a statistical decision setting is reduced to a free boundary problem for the heat equation which is amenable to numerical solution by the method of lines. An algorithm is given and the apparently globally converging results are compared with the asymptotic expansions of H. Chernoff and J. Breakwell.


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DOI: https://doi.org/10.1090/S0025-5718-1971-0300473-9
Keywords: Free boundary, method of lines, Bayes risk
Article copyright: © Copyright 1971 American Mathematical Society