Extrapolation discontinuous Galerkin method for ultraparabolic equations

DOI10.1016/j.cam.2008.05.058zbMath1158.65075OpenAlexW2013727956MaRDI QIDQ1002210

Michael D. Marcozzi

Publication date: 25 February 2009

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.2008.05.058

zbMATH Keywords

numerical examplesoption pricingfinite elementdiscontinuous Galerkin methodextrapolationAsian optionsultraparabolic equations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Ultraparabolic equations, pseudoparabolic equations, etc. (35K70)

Related Items (8)

Extrapolation for solving a system of weakly singular nonlinear Volterra integral equations of the second kind ⋮ Asset liquidity and the valuation of derivative securities ⋮ A finite difference scheme for nonlinear ultra-parabolic equations ⋮ Well-posedness of linear ultraparabolic equations on bounded domains ⋮ Uniqueness result for an age-dependent reaction–diffusion problem ⋮ An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options ⋮ On the regularization of solution of an inverse ultraparabolic equation associated with perturbed final data ⋮ Probabilistic interpretation of solutions of linear ultraparabolic equations

Uses Software

• RODAS

Cites Work

• A numerical analysis of variational valuation techniques for derivative securities
• Sobolev-Morrey spaces related to an ultraparabolic equation
• Parallel, adaptive finite element methods for conservation laws
• A posteriori error estimation for discontinuous Galerkin solutions of hyperbolic problems
• Numerical methods for ultraparabolic equations
• Solving Ordinary Differential Equations I
• Quasimonotone Schemes for Scalar Conservation Laws Part I
• Recent Progress in Extrapolation Methods for Ordinary Differential Equations
• TVB Runge-Kutta Local Projection Discontinuous Galerkin Finite Element Method for Conservation Laws II: General Framework
• Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
• On the Valuation of Asian Options by Variational Methods
• A Posteriori Finite Element Error Estimation for Diffusion Problems
• GENERALIZED CAUCHY PROBLEM FOR AN ULTRAPARABOLIC EQUATION
• Stochastic Problems in Physics and Astronomy
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