Spatial Approximation of Nondivergent Type Parabolic PDEs with Unbounded Coefficients Related to Finance
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 assumpti...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/801059 |
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| 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. |
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| ISSN: | 1085-3375 1687-0409 |