Spatial approximation of nondivergent type parabolic PDEs with unbounded coefficients related to finance
type: Item
instance of: scholarly article
title: Spatial approximation of nondivergent type parabolic PDEs with unbounded coefficients related to finance
zbMATH Open document ID: 1474.65274
DOI: 10.1155/2014/801059
author: Fernando F. Gonçalves
author: Maria Rosário Grossinho
published in: Abstract and Applied Analysis
publication date: 2019-02-14T00:00:00Z
review text: Summary: 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 term and 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. The rate of convergence is estimated.
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 35K15
Mathematics Subject Classification ID: 35A35
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 7023098
Wikidata QID: Q59041595
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2014/801059
OpenAlex ID: W2031255786
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description: scientific article; zbMATH DE number 7023098