Tạp chí Khoa học và Công nghệ Việt Nam, S. 4C (2019)

Cỡ chữ:  Nhỏ  Vừa  Lớn

Finite-difference method for the Gamma equation on non-uniform grids.

Le Minh Hieu, Truong Thi Hieu Hanh, Dang Ngoc Hoang Thanh

Tóm tắt

We propose a new monotone finite-difference scheme for the second-order local approximation on a non-uniform grid that approximates the Dirichlet initial boundary value problem (IBVP) for the quasi-linear convection-diffusion equation with unbounded nonlinearity, namely, for the Gamma equation obtained by transformation of the nonlinear Black-Scholes equation into a quasilinear parabolic equation. Using the difference maximum principle, a two-sided estimate and an a priori estimate in the c-norm are obtained for the solution of the difference schemes that approximate this equation.
Keywords: Gamma equation, maximum principle, monotone finite-difference scheme, non-uniform grid, quasi-linear parabolic equation, scientific computing, two-side estimates. 
Classification number: 1.1