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hal.structure.identifier
dc.contributor.authorTan, Xiaolu
dc.date.accessioned2017-03-15T14:33:10Z
dc.date.available2017-03-15T14:33:10Z
dc.date.issued2013
dc.identifier.issn1083-6489
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16350
dc.language.isoenen
dc.subjectNumerical schemeen
dc.subjectnonlinear degenerate PDEen
dc.subjectsplitting methoden
dc.subjectviscosity solutionen
dc.subject.ddc519en
dc.titleA splitting method for fully nonlinear degenerate parabolic PDEsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenMotivated by applications in Asian option pricing, optimal commodity trading etc., we propose a splitting scheme for a fully nonlinear degenerate parabolic PDEs. The splitting scheme generalizes the probabilistic scheme of Fahim, Touzi and Warin to the degenerate case. We also provide a simulation-regression method to make the splitting scheme implementable. General convergence as well as rate of convergence are obtained under reasonable conditions. Finally, we give some numerical tests in an Asian option pricing problem and an optimal hydropower management problem.en
dc.relation.isversionofjnlnameElectronic Journal of Probability
dc.relation.isversionofjnlvol18en
dc.relation.isversionofjnldate2013
dc.relation.isversionofjnlpagesn°15en
dc.relation.isversionofdoi10.1214/EJP.v18-1967en
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01246999en
dc.relation.isversionofjnlpublisherElectronic Journal of Probability and Electronic Communications in Probabilityen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2017-03-10T09:48:41Z
hal.author.functionaut


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