Spatial approximation of nondivergent type parabolic PDEs with unbounded coefficients related to finance

Gonçalves, Fernando F.; Grossinho, Maria Rosário

http://hdl.handle.net/10400.5/24433

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Autores

Gonçalves, Fernando F.

Grossinho, Maria Rosário

Resumo(s)

We study the spatial discretisation of the Cauchy problem for a multidimensional linear parabolic PDE of second order, with nondivergent operator and unbounded time- and space-dependent coefficients. The equation free termand the initial data are also allowed to grow. Under a nondegeneracy assumption, we consider the PDE solvability in the framework of the variational approach and approximate in space the PDE problem’s generalised solution, with the use of finite-difference methods.Therate of convergence is estimated.

Palavras-chave

Multidimensional Linear Parabilic PDE PDE Solvability PDE Problem's Generalised Solution

URI

http://hdl.handle.net/10400.5/24433

Citação

Gonçalves, Fernando F., and Maria Rosário Grossinho. (2014). "Spatial approximation of nondivergent type parabolic PDEs with unbounded coefficients related to finance." Abstract and Applied Analysis. Vol. 2014. .Hindawi. (Search PDF in 2022).

Editora

Hindawi Publishing Corporation

Coleções

CEMAPRE - Artigos em Revistas Internacionais / Articles in International Journals

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