In this paper we develop a numerical method for two-dimensional time-dependent reaction–diffusion problems. This method, which can immediately be generalized to higher dimensions, is shown to be uniformly convergent with respect to the diffusion parameter.

This paper deals with a parabolic partial differential equation that incorporates diffusion and convection terms and that previously has been shown to have solutions that become unbounded at a single point in finite time. The results presented here describe the limiting behavior of the solution in a neighborhood of the blowup point, as well as the asymptotic growth rate as the blowup time is ap...

In this paper we investigate the nature of the adapted ;solutions to a class of forward-backward stochastic differential equations (SDEs for short) in which the forward equation is non-degenerate. We prove that in this case the adapted solution can always be sought in an "ordinary" sense over an arbitrarily prescribed time duration, via a direct "Four Step Scheme". Using this scheme, we further...

We construct a sequence of functions that uniformly converge (on compact sets) to the price of Asian option, which is written on a stock whose dynamics follows a jump diffusion, exponentially fast. Each of the element in this sequence solves a parabolic partial differential equation (not an integro-differential equation). As a result we obtain a fast numerical approximation scheme whose accurac...

We construct a sequence of functions that uniformly converge (on compact sets) to the price of Asian option, which is written on a stock whose dynamics follows a jump diffusion, exponentially fast. Each of the element in this sequence solves a parabolic partial differential equation (not an integro-differential equation). As a result we obtain a fast numerical approximation scheme whose accurac...

Kimura diffusions serve as a stochastic model for the evolution of gene frequencies in population genetics. Their infinitesimal generator is an elliptic differential operator whose second-order coefficients matrix degenerates on the boundary of the domain. In this article, we consider the inhomogeneous initial-value problem defined by generators of Kimura diffusions, and we establish C-estimate...

(1.1) ∂tu− div a(z,Du) = div ( |F |p(z)−2F ) in ΩT . Here, ΩT denotes the space time cylinder Ω × (0, T ) over a bounded domain Ω ⊆ R with dimension n ≥ 2. We write z = (x, t) for points in R, Du for the spatial gradient of u and ∂tu for the derivative with respect to time. The function u : ΩT → R with N ≥ 1 can possibly be vector valued, so that we include in our considerations the case of par...

We construct a sequence of functions that uniformly converge (on compact sets) to the price of Asian option, which is written on a stock whose dynamics follows a jump diffusion, exponentially fast. Each of the element in this sequence solves a parabolic partial differential equation (not an integro-differential equation). As a result we obtain a fast numerical approximation scheme whose accurac...

We construct a sequence of functions that uniformly converge (on compact sets) to the price of Asian option, which is written on a stock whose dynamics follows a jump diffusion, exponentially fast. Each of the element in this sequence solves a parabolic partial differential equation (not an integro-differential equation). As a result we obtain a fast numerical approximation scheme whose accurac...

We construct a sequence of functions that uniformly converge (on compact sets) to the price of Asian option, which is written on a stock whose dynamics follows a jump diffusion, exponentially fast. We show that each of the element in this sequence is the unique classical solutions of a parabolic partial differential equation (not an integro-differential equation). As a result we obtain a fast n...