Name
Title | ||
|---|---|---|
On multilevel RBF collocation to solve nonlinear PDEs arising from endogenous stochastic volatility models |
Abstract | ||
|---|---|---|
•We present an analytical and also a numerical study of a time-dependent second-order nonlinear partial differential equation (PDE) arising from the endogenous stochastic volatility model.•We introduce a Newton-based iteration scheme for nonlinear parabolic equations based on multilevel collocation using radial basis functions (RBFs).•We show the effectiveness of the resulting framework by solving a prototypical example from the field. |
Year | DOI | Venue |
|---|---|---|
2018 | 10.1016/j.cnsns.2017.11.003 | Communications in Nonlinear Science and Numerical Simulation |
Keywords | DocType | Volume |
Endogenous stochastic equity volatility model,Nonlinear partial differential equations,Radial basis functions,Multiquadric method,Multilevel newton iteration | Journal | 59 |
ISSN | Citations | PageRank |
1007-5704 | 0 | 0.34 |
References | Authors | |
4 | 3 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Ali Foroush Bastani | 1 | 10 | 4.85 |
| Maryam Vahid Dastgerdi | 2 | 0 | 0.34 |
| Abolfazl Mighani | 3 | 0 | 0.34 |