A Splitting Numerical Scheme for Non-linear Models of Mathematical Finance

被引：0

作者：

Koleva, Miglena N. ^{[1
]}

Vulkov, Lubin G. ^{[1
]}

机构：

[1] Univ Rousse, Fac Nat Sci & Educ, Rousse 7017, Bulgaria

来源：

LARGE-SCALE SCIENTIFIC COMPUTING, LSSC 2013 | 2014年 / 8353卷

关键词：

MONGE-AMPERE EQUATION;

D O I：

10.1007/978-3-662-43880-0_69

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

We present and analyze a splitting numerical scheme for two non-linear models of mathematical finance. Each of the problems is split into two parts: a hyperbolic equation solved numerically by using a flux limiter technique and a parabolic equation computed by implicit-explicit finite difference scheme. We show that the presented splitting numerical schemes are convergent and positivity preserving. Numerical results are also discussed.

引用

页码：602 / 610

页数：9

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