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
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	parabolic PDE \| transition density function \| closed form expression \| fundamental solution

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C13 - Estimation ; G12 - Asset Pricing ; C63 - Computational Techniques ; C0 - Mathematical and Quantitative Methods. General ; C02 - Mathematical Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005836727