We prove asymptotic convergence results for some analytical expansions of solutions of degenerate PDEs with applications to financial mathematics. In particular, we combine short-time and global-in-space error estimates, previously obtained in the uniformly parabolic case, with some a priori bounds on “short cylinders” and we achieve short-time asymptotic convergence of the approximate solution in the degenerate parabolic case.
Asymptotic expansions for degenerate parabolic equations / Andrea Pascucci; Stefano Pagliarani. - In: COMPTES RENDUS MATHÉMATIQUE. - ISSN 1631-073X. - STAMPA. - 352:12(2014), pp. 1011-1016. [10.1016/j.crma.2014.09.024]
Asymptotic expansions for degenerate parabolic equations
PASCUCCI, ANDREA;PAGLIARANI, STEFANO
2014
Abstract
We prove asymptotic convergence results for some analytical expansions of solutions of degenerate PDEs with applications to financial mathematics. In particular, we combine short-time and global-in-space error estimates, previously obtained in the uniformly parabolic case, with some a priori bounds on “short cylinders” and we achieve short-time asymptotic convergence of the approximate solution in the degenerate parabolic case.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
