A splitting method for fully nonlinear degenerate parabolic PDEs (Q388855)
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scientific article; zbMATH DE number 6247184
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A splitting method for fully nonlinear degenerate parabolic PDEs |
scientific article; zbMATH DE number 6247184 |
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A splitting method for fully nonlinear degenerate parabolic PDEs (English)
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17 January 2014
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The author proposes a splitting scheme for fully nonlinear degenerate parabolic partial differential equations (PDEs) which is motivated by various applications in Asian price option or optimal commodity trading. The method proposed uses a probabilistic scheme to deal with the non-degenerate part together with a semi-Lagrangean scheme for the degenerate part. Under reasonable conditions is obtained the general convergence of the scheme is obtained. Numerical experiment are also presented to support the theoretical findings.
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fully nonlinear degenerate parabolic partial differential equations
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splitting method
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Asian price option
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optimal commodity trading
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probabilistic scheme
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semi-Lagrangean scheme
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convergence
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numerical experiments
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