Using Chebyshev polynomials to approximate partial differential equations: a reply

DOI10.1007/s10614-010-9222-2zbMath1241.91149OpenAlexW2054912819MaRDI QIDQ429819

Alejandro Mosiño

Publication date: 20 June 2012

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-010-9222-2

zbMATH Keywords

Chebyshev nodesoptimal stopping problemChebyshev polynomial approximation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Best approximation, Chebyshev systems (41A50) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Investment under uncertainty: calculating the value function when the Bellman equation cannot be solved analytically
• Investments in flexible production capacity
• Projection methods for solving aggregate growth models
• Using Chebyshev polynomials to approximate partial differential equations
• Chebyshev polynomial solutions of linear differential equations

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