Parametrix approximations for non constant coefficient parabolic PDEs

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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Year of publication:	2008-03-20
Authors:	Foschi, Paolo ; Pieressa, Luca ; Polidoro, Sergio

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Foschi, Paolo and Pieressa, Luca and Polidoro, Sergio (2008): Parametrix approximations for non constant coefficient parabolic PDEs.
Classification:	C13 - Estimation ; G12 - Asset Pricing ; C63 - Computational Techniques ; C0 - Mathematical and Quantitative Methods. General ; C02 - Mathematical Methods
Source:	BASE

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