Numerical methods for PDE models related to pricing and expected lifetime of an extraction project under uncertainty

DOI10.3934/DCDSB.2018254MaRDI QIDQ2321069zbMATH OpenOpenAlexFDO

Authors M. Suárez-Taboada, Carlos Vázquez

Publication date 28 August 2019

Published in Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/dcdsb.2018254

zbMATH Keywords

ALAS algorithmcharacteristics methodscomplementarity problemsCrank-Nicolsoninvestment under uncertaintyPDEs

Mathematics Subject Classification ID

Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22) Numerical aspects of the method of characteristics for initial value and initial-boundary value problems involving PDEs (65M25) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)

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