Asymptotic expansions for degenerate parabolic equations |
| |
Affiliation: | 1. Centre de mathématiques appliquées, École polytechnique & CNRS, route de Saclay, 91128 Palaiseau cedex, France;2. Dipartimento di Matematica, Università di Bologna, Piazza di Porta S. Donato 5, 40126 Bologna, Italy |
| |
Abstract: | We prove asymptotic convergence results for some analytical expansions of solutions to degenerate PDEs with applications to financial mathematics. In particular, we combine short-time and global-in-space error estimates, previously obtained in the uniformly parabolic case, with some a priori bounds on “short cylinders”, and we achieve short-time asymptotic convergence of the approximate solution in the degenerate parabolic case. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|