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.
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页码：602 / 610
页数：9
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