Asymptotic expansions for degenerate parabolic equations
نویسندگان
چکیده
Article history: Received 14 May 2014 Accepted after revision 26 September 2014 Available online 11 October 2014 Presented by Olivier Pironneau We prove asymptotic convergence results for some analytical expansions of solutions to 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. © 2014 Académie des sciences. Published by Elsevier Masson SAS. All rights reserved.
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تاریخ انتشار 2014