Finite-difference method for the Gamma equation on non-uniform grids

Autor:	Le Minh Hieu, Truong Thi Hieu Hanh, Dang Ngoc Hoang Thanh
Jazyk:	angličtina
Rok vydání:	2022
Předmět:	Gamma equation maximum principle monotone finite-difference scheme non-uniform grid quasi-linear parabolic equation scientific computing Science
Zdroj:	Vietnam Journal of Science, Technology and Engineering, Vol 61, Iss 4 (2022)
Druh dokumentu:	article
ISSN:	2525-2461 2615-9937
DOI:	10.31276/VJSTE.61(4).03-08
Popis:	We propose a new monotone finite-difference scheme for the second-order local approximation on a nonuniform grid that approximates the Dirichlet initial boundary value problem (IBVP) for the quasi-linear convection-diffusion equation with unbounded nonlinearity, namely, for the Gamma equation obtained by transformation of the nonlinear Black-Scholes equation into a quasilinear parabolic equation. Using the difference maximum principle, a two-sided estimate and an a priori estimate in the c-norm are obtained for the solution of the difference schemes that approximate this equation.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/8f4266a4dc4a4d38ae415086788d4b2a Zobrazit plný text záznamu View record in DOAJ