A kernel-based algorithm for numerical solution of nonlinear PDEs in finance
DOI10.1007/978-3-642-29843-1_64zbMATH Open1354.91167OpenAlexW71521011MaRDI QIDQ2896446FDOQ2896446
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
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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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- 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
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- 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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