Parametrix approximations for non constant coefficient parabolic PDEs

Paolo Foschi, Luca Pieressa and Sergio Polidoro

MPRA Paper from University Library of Munich, Germany

Abstract: Closed form approximations to the fundamental solution of parabolic PDEs is considered. The approach consists on approximations based on a parametrix series expansion. The approximation error can be bounded by a gaussian function and it is of an order of t^2. These explicit expressions have direct applications in finance and statistics.

Keywords: parabolic PDE; transition density function; closed form expression; fundamental solution (search for similar items in EconPapers)
JEL-codes: C13 G12 C63 C0 C02 (search for similar items in EconPapers)
Date: 2008-03-20, Revised 2008-03-20
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http://mpra.ub.uni-muenchen.de/7852/ orginal version
http://mpra.ub.uni-muenchen.de/7943/ revised version

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