Analysis of a finite volume element method for a degenerate parabolic equation in the zero-coupon bond pricing

DOI10.1007/s40314-014-0128-9zbMath1326.65113OpenAlexW2089898184MaRDI QIDQ2516793

Radoslav L. Valkov, Tatiana Chernogorova

Publication date: 4 August 2015

Published in: Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40314-014-0128-9

zbMATH Keywords

stabilityconvergencedegenerate parabolic equationfinite volume element methodM-matrixGärding coercivity

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Degenerate parabolic equations (35K65) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

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