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

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.