Particle methods for PDEs arising in financial modeling

DOI10.1016/j.apnum.2014.04.005zbMath1325.65142OpenAlexW2043222482MaRDI QIDQ2343601

Shumo Cui, Alexander Kurganov, Alexei A. Medovikov

Publication date: 6 May 2015

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2014.04.005

zbMATH Keywords

Monte Carlo methodconvection-diffusion equationsanisotropic diffusiondeterministic and stochastic particle methodsPDE-based bond pricing models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

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