A splitting method for fully nonlinear degenerate parabolic PDEs

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

Xiaolu Tan

Publication date: 17 January 2014

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

zbMATH Keywords

convergence; numerical experiments; splitting method; Asian price option; fully nonlinear degenerate parabolic partial differential equations; optimal commodity trading; probabilistic scheme; semi-Lagrangean scheme

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

91B24: Microeconomic theory (price theory and economic markets)

35K65: Degenerate parabolic equations

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

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