Numerical solution of the stochastic parabolic equation with the dependent operator coefficient

2015 ◽  
Author(s):  
Allaberen Ashyralyev ◽  
Ulker Okur
Keyword(s):  
Parabolic Equation ◽  
Numerical Solution ◽  
Operator Coefficient ◽  
Stochastic Parabolic Equation

scholarly journals Numerical Solution of a Kind of Fractional Parabolic Equations via Two Difference Schemes

2013 ◽  
Vol 2013 ◽  
pp. 1-8 ◽  
Author(s):  
Abdon Atangana ◽  
Dumitru Baleanu
Keyword(s):  
Parabolic Equation ◽  
Fractional Calculus ◽  
Numerical Solution ◽  
Parabolic Equations ◽  
Difference Schemes ◽  
Stability And Convergence ◽  
Implicit Schemes ◽  
The Stability

A kind of parabolic equation was extended to the concept of fractional calculus. The resulting equation is, however, difficult to handle analytically. Therefore, we presented the numerical solution via the explicit and the implicit schemes. We presented together the stability and convergence of this time-fractional parabolic equation with two difference schemes. The explicit and the implicit schemes in this case are stable under some conditions.

scholarly journals Rescaling nonlinear noise for 1D stochastic parabolic equations

2019 ◽  
Vol 20 (04) ◽  
pp. 2050027
Author(s):  
Beniamin Goldys ◽  
Misha Neklyudov
Keyword(s):  
Parabolic Equation ◽  
Parabolic Equations ◽  
Space Variable ◽  
Nonlinear Noise ◽  
Stochastic Parabolic Equation

We show regularization effect of nonlinear gradient noise to the solution of 1D stochastic parabolic equation. We demonstrate convergence to a martingale (independent upon space variable) when we rescale noise at the extremum points of the process.

scholarly journals Transforming Arithmetic Asian Option PDE to the Parabolic Equation with Constant Coefficients

2011 ◽  
Vol 2011 ◽  
pp. 1-6 ◽  
Author(s):  
Zieneb Ali Elshegmani ◽  
Rokiah Rozita Ahmad ◽  
Saiful Hafiza Jaaman ◽  
Roza Hazli Zakaria
Keyword(s):  
Parabolic Equation ◽  
Analytical Solution ◽  
Heat Equation ◽  
Numerical Solution ◽  
Closed Form ◽  
Asian Option ◽  
Asian Options ◽  
New Approach ◽  
Constant Coefficients ◽  
Closed Form Analytical Solution

Arithmetic Asian options are difficult to price and hedge, since at present, there is no closed-form analytical solution to price them. Transforming the PDE of the arithmetic the Asian option to a heat equation with constant coefficients is found to be difficult or impossible. Also, the numerical solution of the arithmetic Asian option PDE is not very accurate since the Asian option has low volatility level. In this paper, we analyze the value of the arithmetic Asian option with a new approach using means of partial differential equations (PDEs), and we transform the PDE to a parabolic equation with constant coefficients. It has been shown previously that the PDE of the arithmetic Asian option cannot be transformed to a heat equation with constant coefficients. We, however, approach the problem and obtain the analytical solution of the arithmetic Asian option PDE.

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