A finite difference method for a boundary value problem related to the Kolmogorov equation

DOI10.1007/BF02575835zbMath0890.65106OpenAlexW1986683423MaRDI QIDQ1373472

C. Mogavero, Sergio Polidoro

Publication date: 6 July 1998

Published in: Calcolo (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02575835

zbMATH Keywords

stabilityconvergenceconsistencyfinite difference methodKolmogorov equation

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Finite difference methods for boundary value problems involving PDEs (65N06)

Related Items (5)

SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS ⋮ A characteristics-finite differences method for the Hobson-Rogers uncertain volatility model ⋮ Analysis of an uncertain volatility model ⋮ Adaptive stochastic weak approximation of degenerate parabolic equations of Kolmogorov type ⋮ A finite element approximation for a class of degenerate elliptic equations

Cites Work

• Solution of the Fokker-Planck-Kolmogorov equation by the method of finite differences
• Hypoelliptic second order differential equations
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