Backward Euler discretization of fully nonlinear parabolic problems

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Backward Euler discretization of fully nonlinear parabolic problems

This paper is concerned with the time discretization of nonlinear evolution equations. We work in an abstract Banach space setting of analytic semigroups that covers fully nonlinear parabolic initial-boundary value problems with smooth coefficients. We prove convergence of variable stepsize backward Euler discretizations under various smoothness assumptions on the exact solution. We further sho...

متن کامل

A numerical scheme for solving nonlinear backward parabolic problems

‎In this paper a nonlinear backward parabolic problem in one‎ ‎dimensional space is considered‎. ‎Using a suitable iterative‎ ‎algorithm‎, ‎the problem is converted to a linear backward parabolic‎ ‎problem‎. ‎For the corresponding problem‎, ‎the backward finite‎ ‎differences method with suitable grid size is applied‎. ‎It is shown‎ ‎that if the coefficients satisfy some special conditions‎, ‎th...

متن کامل

a numerical scheme for solving nonlinear backward parabolic problems

‎in this paper a nonlinear backward parabolic problem in one‎ ‎dimensional space is considered‎. ‎using a suitable iterative‎ ‎algorithm‎, ‎the problem is converted to a linear backward parabolic‎ ‎problem‎. ‎for the corresponding problem‎, ‎the backward finite‎ ‎differences method with suitable grid size is applied‎. ‎it is shown‎ ‎that if the coefficients satisfy some special conditions‎, ‎th...

متن کامل

A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems

When the option pricing problem is of several dimensions, for example, basket options, deterministic methods such as finite difference are almost intractable; because the complexity increases exponentially with the dimension and one almost inevitably needs to use Monte Carlo simulations. Moreover, many problems in finance, for example, pricing in incomplete markets and portfolio optimization, l...

متن کامل

A domain decomposition discretization of parabolic problems

Abstract. In recent years, domain decomposition methods have attracted much attention due to their successful application to many elliptic and parabolic problems. Domain decomposition methods treat problems based on a domain substructuring, which is attractive for parallel computation, due to the independence among the subdomains. In principle, domain decomposition methods may be applied to the...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Mathematics of Computation

سال: 2001

ISSN: 0025-5718

DOI: 10.1090/s0025-5718-01-01330-8