Quasilinearization numerical scheme for fully nonlinear parabolic problems with applications in models of mathematical finance (Q2450494): Difference between revisions

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scientific article

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English	Quasilinearization numerical scheme for fully nonlinear parabolic problems with applications in models of mathematical finance	scientific article

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scholarly article

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title

Quasilinearization numerical scheme for fully nonlinear parabolic problems with applications in models of mathematical finance (English)

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zbMATH Open document ID

1286.65100

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DOI

10.1016/j.mcm.2013.01.008

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Mathematical and Computer Modelling

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publication date

14 May 2014

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Mathematics Subject Classification ID

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convergence

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fully nonlinear parabolic equation

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Hamilton-Jacobi-Bellman parabolic partial differential equation

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optimal investment

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pension investment

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quasilinearization method

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Rothe's method

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singular parabolic partial differential equation

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transaction cost

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.mcm.2013.01.008

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Numerical investigation of quasilinearization method in quantum mechanics

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Q4397695

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Generalized quasilinearization versus Newton method

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Quasilinearization approach to nonlinear problems in physics with application to nonlinear ODEs

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Generalized quasilinearization method and higher order of convergence for second-order boundary value problems

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Q5791786

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Q3943431

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Historical developments in convergence analysis for Newton's and Newton-like methods

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On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile

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On the numerical solution of nonlinear Black-Scholes equations

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Q3355178

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Numerical solution of linear and nonlinear Black-Scholes option pricing equations

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Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation

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Q3989617

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On Discretization and Differentiation of Operators with Application to Newton’s Method

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Convergence of Rothe's method for fully nonlinear parabolic equations

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Q3853967

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A mathematical theory for numerical treatment of nonlinear two-point boundary value problems

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Existence of solutions for the nonlinear partial differential equation arising in the optimal investment problem

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Q3540359

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Q3585691

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Pricing early exercise contracts in incomplete markets

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Risk Aversion in the Small and in the Large

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Q4528992

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Numerical treatment of partial differential equations. Revised translation of the 3rd German edition of `Numerische Behandlung partieller Differentialgleichungen' by Martin Stynes.

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Sitelinks

Mathematics(1 entry)

mardi Publication:2450494

@@ Property / cites work @@
+Q5514046
@@ Property / cites work: Q5514046 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical investigation of quasilinearization method in quantum mechanics
+Normal rank
@@ Property / cites work @@
+Q4397695
@@ Property / cites work: Q4397695 / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized quasilinearization versus Newton method
+Normal rank
@@ Property / cites work @@
+Quasilinearization approach to nonlinear problems in physics with application to nonlinear ODEs
+Normal rank
@@ Property / cites work @@
+Generalized quasilinearization method and higher order of convergence for second-order boundary value problems
+Normal rank
@@ Property / cites work @@
+Q5791786
@@ Property / cites work: Q5791786 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3943431
@@ Property / cites work: Q3943431 / rank @@
+Normal rank
@@ Property / cites work @@
+Historical developments in convergence analysis for Newton's and Newton-like methods
+Normal rank
@@ Property / cites work @@
+On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile
+Normal rank
@@ Property / cites work @@
+On the numerical solution of nonlinear Black-Scholes equations
+Normal rank
@@ Property / cites work @@
+Q3355178
@@ Property / cites work: Q3355178 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical solution of linear and nonlinear Black-Scholes option pricing equations
+Normal rank
@@ Property / cites work @@
+Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
+Normal rank
@@ Property / cites work @@
+Q3989617
@@ Property / cites work: Q3989617 / rank @@
+Normal rank
@@ Property / cites work @@
+On Discretization and Differentiation of Operators with Application to Newton’s Method
+Normal rank
@@ Property / cites work @@
+Convergence of Rothe's method for fully nonlinear parabolic equations
+Normal rank
@@ Property / cites work @@
+Q3853967
@@ Property / cites work: Q3853967 / rank @@
+Normal rank
@@ Property / cites work @@
+A mathematical theory for numerical treatment of nonlinear two-point boundary value problems
+Normal rank
@@ Property / cites work @@
+Existence of solutions for the nonlinear partial differential equation arising in the optimal investment problem
+Normal rank
@@ Property / cites work @@
+Q3540359
@@ Property / cites work: Q3540359 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3585691
@@ Property / cites work: Q3585691 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing early exercise contracts in incomplete markets
+Normal rank
@@ Property / cites work @@
+Risk Aversion in the Small and in the Large
@@ Property / cites work: Risk Aversion in the Small and in the Large / rank @@
+Normal rank
@@ Property / cites work @@
+Q4528992
@@ Property / cites work: Q4528992 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical treatment of partial differential equations. Revised translation of the 3rd German edition of `Numerische Behandlung partieller Differentialgleichungen' by Martin Stynes.
+Normal rank