A splitting method for fully nonlinear degenerate parabolic PDEs (Q388855): Difference between revisions

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Latest revision as of 16:05, 9 December 2024

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A splitting method for fully nonlinear degenerate parabolic PDEs
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    A splitting method for fully nonlinear degenerate parabolic PDEs (English)
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    17 January 2014
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    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.
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    fully nonlinear degenerate parabolic partial differential equations
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    splitting method
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    Asian price option
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    optimal commodity trading
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    probabilistic scheme
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    semi-Lagrangean scheme
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    convergence
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    numerical experiments
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