A splitting method for fully nonlinear degenerate parabolic PDEs

Abstract

Motivated by applications in Asian option pricing, optimal commodity trading etc., we propose a splitting scheme for a fully nonlinear degenerate parabolic PDEs. The splitting scheme generalizes the probabilistic scheme of Fahim, Touzi and Warin to the degenerate case. We also provide a simulation-regression method to make the splitting scheme implementable. General convergence as well as rate of convergence are obtained under reasonable conditions. Finally, we give some numerical tests in an Asian option pricing problem and an optimal hydropower management problem.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 34 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.