FINITE DIFFERENCE SCHEMES ON UNBOUNDED DOMAINS

DOI10.1142/9789812703316_0008zbMath1085.65076OpenAlexW2493569960MaRDI QIDQ3372240

Matthias Ehrhardt

Publication date: 20 February 2006

Published in: Advances in the Applications of Nonstandard Finite Difference Schemes (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/4538e520d57c0961de3a312e187ea6e5ae0365e1

zbMATH Keywords

numerical exampleheat equationasymptotic solutionsfinite difference methodfree boundary problemoption pricingquantum mechanicscontinued fraction expansionBlack-Scholes equationunderwater acousticsdiscrete artificial boundary conditionssum-of-exponential ansatz

Mathematics Subject Classification ID

Finite difference methods applied to problems in fluid mechanics (76M20) Heat equation (35K05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Financial applications of other theories (91G80) Hydro- and aero-acoustics (76Q05) Initial value problems for second-order parabolic equations (35K15)

Related Items (3)

Spatial approximation of nondivergent type parabolic PDEs with unbounded coefficients related to finance ⋮ Heatlet approach to diffusion equation on unbounded domains ⋮ Nonstandard finite difference methods: recent trends and further developments

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