A kernel-based algorithm for numerical solution of nonlinear PDEs in finance

DOI10.1007/978-3-642-29843-1_64MaRDI QIDQ2896446zbMATH OpenOpenAlexFDO

Authors Miglena N. Koleva, Lubin G. Vulkov

Publication date 16 July 2012

Published in Large-Scale Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-29843-1_64

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Fundamental solutions, Green's function methods, etc. for initial value and initial-boundary value problems involving PDEs (65M80)

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(8)

• Numerical solution of a nonlinear PDE model for pricing renewable energy certificates (RECs)
• Using kernel-based collocation methods to solve a delay partial differential equation with application to finance
• A non linear approximation method for solving high dimensional partial differential equations: application in finance
• A trustable shape parameter in the kernel-based collocation method with application to pricing financial options
• A new method for solving Kolmogorov equations in mathematical finance
• Newton-based solvers for nonlinear PDEs in finance
• Operator splitting kernel based numerical method for a generalized Leland's model
• Soliton kernels for solving PDEs

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