A splitting method for fully nonlinear degenerate parabolic PDEs (Q388855): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Latest revision as of 01:08, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A splitting method for fully nonlinear degenerate parabolic PDEs |
scientific article |
Statements
A splitting method for fully nonlinear degenerate parabolic PDEs (English)
0 references
17 January 2014
0 references
The author proposes a splitting scheme for fully nonlinear degenerate parabolic partial differential equations (PDEs) which is motivated by various applications in Asian price option or optimal commodity trading. The method proposed uses a probabilistic scheme to deal with the non-degenerate part together with a semi-Lagrangean scheme for the degenerate part. Under reasonable conditions is obtained the general convergence of the scheme is obtained. Numerical experiment are also presented to support the theoretical findings.
0 references
fully nonlinear degenerate parabolic partial differential equations
0 references
splitting method
0 references
Asian price option
0 references
optimal commodity trading
0 references
probabilistic scheme
0 references
semi-Lagrangean scheme
0 references
convergence
0 references
numerical experiments
0 references
