Spectral method for differential equations of degenerate type on unbounded domains by using generalized Laguerre functions (Q875530)

The authors consider orthogonal generalized Laguerre functions (related to Laguerre polynomials) containing two parameters. They develop the corresponding approximation results and investigate a Galerkin method for a class of degenerate parabolic equations generalizing several models of option pricing in financial mathematics. In their numerical examples, only the choice of one of the mentioned parameters (connected with the decay at infinity) is discussed, but not the other parameter (connected with the degeneration of the coefficients). The method is also useful for equations in spherical coordinates.