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

• المؤلفون الرئيسيون: Le, Minh Hieu, Truong, Thi Hieu Hanh, Dang, Ngoc Hoang Thanh
• التنسيق: مقال
• اللغة: English
• منشور في: H. : ĐHQGHN 2020
• الموضوعات: Gamma equation; Maximum principle; Two-side estimates; Monotone finite-difference scheme; Quasi-linear parabolic equation; Scientific computing
• الوصول للمادة أونلاين: http://repository.vnu.edu.vn/handle/VNU_123/68358; https//doi.org/ 10.25073/2588-1124/vnumap.4364
• المؤسسة: Vietnam National University, Hanoi

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...