Spatial Approximation of Nondivergent Type Parabolic PDEs with Unbounded Coefficients Related to Finance

Fernando F. Gonçalves and Maria Rosário Grossinho

Abstract and Applied Analysis, 2014, vol. 2014, 1-11

Abstract:

We study the spatial discretisation of the Cauchy problem for a multidimensional linear parabolic PDE of second order, with nondivergent operator and unbounded time- and space-dependent coefficients. The equation free term and the initial data are also allowed to grow. Under a nondegeneracy assumption, we consider the PDE solvability in the framework of the variational approach and approximate in space the PDE problem's generalised solution, with the use of finite-difference methods. The rate of convergence is estimated.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlaaa:801059

DOI: 10.1155/2014/801059

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