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A splitting method for fully nonlinear degenerate parabolic PDEs


 
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1. Title Title of document A splitting method for fully nonlinear degenerate parabolic PDEs
 
2. Creator Author's name, affiliation, country Xiaolu Tan; École Polytechnique; France
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Numerical scheme; nonlinear degenerate PDE; splitting method; viscosity solution
 
3. Subject Subject classification 65C05; 49L25
 
4. Description Abstract Motivated 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2013-01-27
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/1967
 
10. Identifier Digital Object Identifier 10.1214/EJP.v18-1967
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 18
 
12. Language English=en en
 
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