Numerical methods for ultraparabolic equations

DOI10.1007/BF02575877MaRDI QIDQ1817504zbMATHOpenAlexFDO

Authors Michel Crouzeix, G. Akrivis, Vidar Thomée

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

• scientific article; zbMATH DE number 4096021 (Why is no real title available?)
• A Stable Difference Scheme for the Mixed Boundary Problem for a Hyperbolic, First-Order System in Two Dimensions
• Zufällige Bewegungen. (Zur Theorie der Brownschen Bewegung.)

Cited in

(16)

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

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