Finite-Difference Scheme for Initial Boundary Value Problems in Financial Mathematics

We develop unconditionally monotone nite-difference schemes of second-order of local approxi- mation on uniform grids for the initial boundary problem value for the Gamma equation. Two-side estimates of the solution of the scheme are established. We consider the initial boundary value problem for...

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Bibliographic Details
Main Authors: Le, Minh Hieu, Truong, Thi Hieu Hanh, Dang, Ngoc Hoang Thanh
Format: Article
Language:English
Published: H. : ĐHQGHN 2020
Subjects:
Online Access:http://repository.vnu.edu.vn/handle/VNU_123/68358
https//doi.org/ 10.25073/2588-1124/vnumap.4364
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Institution: Vietnam National University, Hanoi
Language: English