Error analysis of truncated expansion solutions to high-dimensional parabolic PDEs

DOI10.1051/M2AN/2017003zbMath1382.65280arXiv1505.04639OpenAlexW2963884158MaRDI QIDQ3133570

Rasmus Wissmann, Christoph Reisinger

Publication date: 2 February 2018

Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.04639

zbMATH Keywords

convergenceerror boundsasymptotic expansionsnumerical resultfinancial derivative pricinghigh-dimensional parabolic equations

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) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Initial value problems for second-order parabolic equations (35K15)

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