Asymptotic expansions for degenerate parabolic equations

作者：Pagliarani Stefano^*; Pascucci Andrea

来源：Comptes Rendus Mathematique, 2014, 352(12): 1011-1016.

DOI：10.1016/j.crma.2014.09.024

We prove asymptotic convergence results for some analytical expansions of solutions to degenerate PDEs with applications to financial mathematics. In particular, we combine short-time and global-in-space error estimates, previously obtained in the uniformly parabolic case, with some a priori bounds on "short cylinders", and we achieve short-time asymptotic convergence of the approximate solution in the degenerate parabolic case.

• 出版日期2014-12