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Parametrix approximations for non constant coefficient parabolic PDEs

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Author Info
Foschi, Paolo
Pieressa, Luca
Polidoro, Sergio

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Abstract

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.

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File URL: http://mpra.ub.uni-muenchen.de/7852/
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File URL: http://mpra.ub.uni-muenchen.de/7943/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 7852.

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Date of creation: 20 Mar 2008
Date of revision: 20 Mar 2008
Handle: RePEc:pra:mprapa:7852

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Related research
Keywords: parabolic PDE transition density function closed form expression fundamental solution

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques
C0 - Mathematical and Quantitative Methods - - General
C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics

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This page was last updated on 2008-11-18.

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