Foschi, Paolo and Pieressa, Luca and Polidoro, Sergio (2008): Parametrix approximations for non constant coefficient parabolic PDEs.
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Closed form approximations to the fundamental solution of parabolic PDEs is considered. The approach consists on approximations based on a parametrix series expansion. The approximation error can be bounded by a gaussian function and it is of an order of t^2. These explicit expressions have direct applications in finance and statistics.
|Item Type:||MPRA Paper|
|Original Title:||Parametrix approximations for non constant coefficient parabolic PDEs|
|Keywords:||parabolic PDE, transition density function, closed form expression, fundamental solution|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General
G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63 - Computational Techniques ; Simulation Modeling
C - Mathematical and Quantitative Methods > C0 - General
C - Mathematical and Quantitative Methods > C0 - General > C02 - Mathematical Methods
|Depositing User:||Paolo Foschi|
|Date Deposited:||21. Mar 2008 06:08|
|Last Modified:||02. Mar 2013 06:19|
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