Spatial Approximation of Nondivergent Type Parabolic PDEs with Unbounded Coefficients Related to Finance. (6th March 2014)

• Record Type: Journal Article
• Authors: Gonçalves, Fernando F.; Grossinho, Maria Rosário
• Other Names: Györi István Academic Editor.
• Is Part Of: Abstract and applied analysis. Volume 2014(2014)
• Publication Date: 2014-03-06
• Subjects: Mathematical analysis -- Periodicals; Mathematical analysis; Applied Mathematics; Mathematical Analysis; Periodicals; 515.05
• DOI: 10.1155/2014/801059
• Languages: English
• ISSNs: 1085-3375

Abstract

Abstract : 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.