Operator splitting kernel based numerical method for a generalized Leland's model

DOI10.1016/J.CAM.2014.07.019zbMATH Open1334.65132OpenAlexW2020516618MaRDI QIDQ457738FDOQ457738

Authors: Miglena N. Koleva, Lubin G. Vulkov 

Publication date: 29 September 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2014.07.019

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zbMATH Keywords

stabilityGreen functionnonlinear parabolic equationpositivity preservingsplitting methodsflux limiter

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

Cites Work

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• High-resolution FEM-TVD schemes based on a fully multidimensional flux limiter
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• On the Hoggard-Whalley-Wilmott equation for the pricing of options with transaction costs
• A positive splitting method for mixed hyperbolic-parabolic systems
• A kernel-based algorithm for numerical solution of nonlinear PDEs in finance
• Numerical solution via transformation methods of nonlinear models in option pricing
• On splitting-based numerical methods for convection-diffusion equations
• On splitting-based numerical methods for nonlinear models of European options
• Spherical harmonics applied to differential and integro-differential equations arising in mathematical finance

Cited In (5)

• A second order operator splitting numerical scheme for the ``good Boussinesq equation
• A structure-preserving, operator splitting scheme for reaction-diffusion equations with detailed balance
• Editorial: Recent trends on computational and mathematical methods in science and engineering (CMMSE)
• Convergence Analysis of the Variational Operator Splitting Scheme for a Reaction-Diffusion System with Detailed Balance
• Numerical treatment of Gray-Scott model with operator splitting method

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