A splitting method for fully nonlinear degenerate parabolic PDEs

DOI10.1214/EJP.v18-1967zbMath1282.65103OpenAlexW2020847728MaRDI QIDQ388855

Xiaolu Tan

Publication date: 17 January 2014

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/ejp.v18-1967

zbMATH Keywords

convergencenumerical experimentssplitting methodAsian price optionfully nonlinear degenerate parabolic partial differential equationsoptimal commodity tradingprobabilistic schemesemi-Lagrangean scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Microeconomic theory (price theory and economic markets) (91B24) Degenerate parabolic equations (35K65) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

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