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2013 A splitting method for fully nonlinear degenerate parabolic PDEs
Xiaolu Tan
Author Affiliations +
Electron. J. Probab. 18: 1-24 (2013). DOI: 10.1214/EJP.v18-1967

Abstract

Motivated by applications in Asian option pricing, optimal commodity trading etc., we propose a splitting scheme for a fully nonlinear degenerate parabolic PDEs. The splitting scheme generalizes the probabilistic scheme of Fahim, Touzi and Warin to the degenerate case. We also provide a simulation-regression method to make the splitting scheme implementable. General convergence as well as rate of convergence are obtained under reasonable conditions. Finally, we give some numerical tests in an Asian option pricing problem and an optimal hydropower management problem.

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Xiaolu Tan. "A splitting method for fully nonlinear degenerate parabolic PDEs." Electron. J. Probab. 18 1 - 24, 2013. https://doi.org/10.1214/EJP.v18-1967

Information

Accepted: 27 January 2013; Published: 2013
First available in Project Euclid: 4 June 2016

zbMATH: 1282.65103
MathSciNet: MR3035743
Digital Object Identifier: 10.1214/EJP.v18-1967

Subjects:
Primary: 65C05
Secondary: 49L25

JOURNAL ARTICLE
24 PAGES


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Vol.18 • 2013
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