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On the space discretization of pdes with unbounded coefficients arising in financial mathematics. a case of one spatial dimension

Goncalves, Fernando F.; Grossinho, M; Morais, Eva


We study the space discretization of the Cauchy problem for a second order linear parabolic PDE, with one spatial dimension and unbounded time and space-dependent coefficients. The PDE free term and the initial data are also allowed to grow. Under the assumption that the PDE does not degenerate, the problem's weak solution is approximated in space, with finite-difference methods. The rate of convergence is estimated. A numerical example is given in order to illustrate the theoretical results.

CollectionsANU Research Publications
Date published: 2010
Type: Journal article
Source: Proceedings of the Bulgarian Academy of Sciences: Comptes Rendus de L'Academie Bulgare des Sciences


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