Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem

DOI10.1137/17M1151833zbMath1395.65049WikidataQ116009471 ScholiaQ116009471MaRDI QIDQ4581765

Yan Li, Bei Hu, Zhengce Zhang

Publication date: 21 August 2018

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

zbMATH Keywords

error estimatesfree boundary problemfinite difference schemeconvergence ratediscountinuous leading order coefficient

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) 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) Free boundary problems for PDEs (35R35) Second-order parabolic systems (35K40)

Related Items (3)

Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors ⋮ Optimal convergence rate of the explicit Euler method for convection–diffusion equations II: High dimensional cases ⋮ A stable time-dependent mesh method for generalized credit rating migration problem

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