Asymptotic Expansions for Degenerate Parabolic Equations

We prove asymptotic convergence results for some analytical expansions of solutions of degenerate PDEs with applications to financial mathematics. In particular, we combine short-time and global-in-space error estimates, previously obtained in the uniformly parabolic case, with some a priori bounds on “short cylinders” and we achieve short-time asymptotic convergence of the approximate solution in the degenerate parabolic case

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Year of publication:	2014
Authors:	Pagliarani, Stefano
Other Persons:	Pascucci, Andrea (contributor)
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Schätztheorie \| Estimation theory

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Extent:	1 Online-Ressource (7 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 27, 2014 erstellt
Other identifiers:	10.2139/ssrn.2442774 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013053362