Analytical expansions for parabolic equations
Analysis of PDEs
2014-12-01 v2 Computational Finance
Abstract
We consider the Cauchy problem associated with a general parabolic partial differential equation in dimensions. We find a family of closed-form asymptotic approximations for the unique classical solution of this equation as well as rigorous short-time error estimates. Using a boot-strapping technique, we also provide convergence results for arbitrarily large time intervals.
Cite
@article{arxiv.1312.3314,
title = {Analytical expansions for parabolic equations},
author = {Matthew Lorig and Stefano Pagliarani and Andrea Pascucci},
journal= {arXiv preprint arXiv:1312.3314},
year = {2014}
}
Comments
23 pages