Quasilinearization numerical scheme for fully nonlinear parabolic problems with applications in models of mathematical finance

DOI10.1016/j.mcm.2013.01.008zbMath1286.65100OpenAlexW2007988422MaRDI QIDQ2450494

Miglena N. Koleva, Lubin G. Vulkov

Publication date: 14 May 2014

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2013.01.008

zbMATH Keywords

convergenceRothe's methodquasilinearization methodtransaction costfully nonlinear parabolic equationoptimal investmentHamilton-Jacobi-Bellman parabolic partial differential equationpension investmentsingular parabolic partial differential equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Nonlinear parabolic equations (35K55) Initial-boundary value problems for second-order parabolic equations (35K20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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Cites Work

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• On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile
• Convergence of Rothe's method for fully nonlinear parabolic equations
• Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
• Risk Aversion in the Small and in the Large
• On Discretization and Differentiation of Operators with Application to Newton’s Method
• Numerical investigation of quasilinearization method in quantum mechanics
• Quasilinearization approach to nonlinear problems in physics with application to nonlinear ODEs
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