Semi-Lagrangian schemes for parabolic equations

DOI10.1142/9789814436434_0006zbMath1273.65110OpenAlexW2522919901MaRDI QIDQ2849676

Espen R. Jakobsen, Kristian Debrabant

Publication date: 24 September 2013

Published in: Recent Developments in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789814436434_0006

zbMATH Keywords

numerical schemesnumerical quadrature(singular) integral termsfractional or nonlocal versions of the equations of order less than or equal to twolinear and fully nonlinear parabolic equations of second order

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Second-order parabolic equations (35K10)

Related Items (4)

Robust Numerical Methods for Nonlocal (and Local) Equations of Porous Medium Type. Part II: Schemes and Experiments ⋮ Probabilistic error analysis for some approximation schemes to optimal control problems ⋮ Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems ⋮ Robust Numerical Methods for Nonlocal (and Local) Equations of Porous Medium Type. Part I: Theory

This page was built for publication: Semi-Lagrangian schemes for parabolic equations