Elliptic-Parabolic Equation with Absorption of Obstacle type

2011 ◽  
Vol 11 (1) ◽  
Author(s):  
Noureddine Igbida ◽  
Fahd Karami
Keyword(s):  
Parabolic Equation ◽  
Existence And Uniqueness ◽  
Parabolic Problem ◽  
Uniqueness Of Solutions ◽  
Degenerate Parabolic Problem ◽  
Doubly Nonlinear ◽  
Degenerate Parabolic ◽  
Nonlinear Degenerate

AbstractThis paper is concerned with existence and uniqueness of solutions for a doubly nonlinear degenerate parabolic problem of the type β(w)

Predictor-Corrector Balance Method for the Worst-Case 1D Option Pricing

2016 ◽  
Vol 16 (1) ◽  
pp. 175-186
Author(s):  
Radoslav Valkov
Keyword(s):  
Parabolic Problem ◽  
Numerical Approach ◽  
Option Value ◽  
Worst Case ◽  
Time Stepping ◽  
Degenerate Parabolic Problem ◽  
Black Scholes ◽  
Degenerate Parabolic ◽  
Predictor Corrector ◽  
Nonlinear Degenerate

AbstractThe paper presents a numerical approach for computation of the first spatial Greek, the Delta, of the option value, governed by the Black–Scholes equation with uncertain volatility and dividend yield. This fully nonlinear degenerate parabolic problem is handled by a monotone finite volume spatial discretization and a second-order predictor-corrector time stepping. Ample numerical results illustrate the performance of the algorithm.

COEFFICIENT INVERSE PROBLEMS FOR THE PARABOLIC EQUATION WITH GENERAL WEAK DEGENERATION

2021 ◽  
Vol 9 (1) ◽  
pp. 91-106
Author(s):  
N. Huzyk ◽  
O. Brodyak
Keyword(s):  
Parabolic Equation ◽  
Inverse Problems ◽  
Existence And Uniqueness ◽  
Space Variable ◽  
Time Derivative ◽  
Classical Solutions ◽  
Linear Polynomial ◽  
Coefficient Inverse Problems ◽  
Degenerate Parabolic ◽  
Increasing Function

It is investigated the inverse problems for the degenerate parabolic equation. The mi- nor coeffcient of this equation is a linear polynomial with respect to space variable with two unknown time-dependent functions. The degeneration of the equation is caused by the monotone increasing function at the time derivative. It is established conditions of existence and uniqueness of the classical solutions to the named problems in the case of weak degeneration.

Sign in / Sign up

Export Citation Format

Share Document