A radial basis function partition of unity collocation method for convection-diffusion equations arising in financial applications

DOI10.1007/s10915-014-9935-9zbMath1325.65139OpenAlexW2044309282WikidataQ60511929 ScholiaQ60511929MaRDI QIDQ499268

Ali Safdari-Vaighani, Elisabeth Larsson, Alfa R. H. Heryudono

Publication date: 30 September 2015

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10915-014-9935-9

zbMATH Keywords

convergencecollocation methodcomparison of methodspseudospectral methodconvection-diffusion equationfinite differenceradial basis functionpartition of unityAmerican optionmeshfree

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Initial-boundary value problems for second-order parabolic equations (35K20) Microeconomic theory (price theory and economic markets) (91B24) 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) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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Uses Software

• Matlab
• Eigtool
• Seigtool
• rbf_qr

Cites Work

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