Numerical methods for ultraparabolic equations

DOI10.1007/BF02575877zbMATH Open0859.65108OpenAlexW2057807461MaRDI QIDQ1817504FDOQ1817504

Michel Crouzeix, Vidar Thomée, G. Akrivis

Publication date: 8 December 1996

Published in: Calcolo (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02575877

zbMATH Keywords

semidiscretizationfinite elementbackward Euler methodultraparabolic equationbox scheme

Mathematics Subject Classification ID

Ultraparabolic equations, pseudoparabolic equations, etc. (35K70) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Cites Work

• Title not available (Why is that?)
• Zufällige Bewegungen. (Zur Theorie der Brownschen Bewegung.)
• A Stable Difference Scheme for the Mixed Boundary Problem for a Hyperbolic, First-Order System in Two Dimensions

Cited In (16)

• An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options
• Adaptive stochastic weak approximation of degenerate parabolic equations of Kolmogorov type
• A Splitting Numerical Method for Primary and Secondary Pollutant Models
• A finite difference scheme for nonlinear ultra-parabolic equations
• Well-posedness of linear ultraparabolic equations on bounded domains
• Numerical methods for unilateral problems
• Asset liquidity and the valuation of derivative securities
• Probabilistic interpretation of solutions of linear ultraparabolic equations
• An approximation of ultra-parabolic equations
• On the regularization of solution of an inverse ultraparabolic equation associated with perturbed final data
• Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management
• Extrapolation discontinuous Galerkin method for ultraparabolic equations
• Numerical solution of parabolic equations in high dimensions
• On the approximation of infinite dimensional optimal stopping problems with application to mathematical finance
• Modified Crank-Nicholson difference schemes for ultra-parabolic equations
• Hypocoercivity-compatible Finite Element Methods for the Long-time Computation of Kolmogorov's Equation

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