Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1707725 | Applied Mathematics Letters | 2015 | 7 Pages |
Abstract
In this paper, our aim is to study a numerical method for an ultraparabolic equation with nonlinear source function. Mathematically, the bibliography on initial–boundary value problems for ultraparabolic equations is not extensive although the problems have many applications related to option pricing, multi-parameter Brownian motion, population dynamics and so forth. In this work, we present the approximate solution by virtue of finite difference scheme and Fourier series. For the nonlinear case, we use an iterative scheme by linear approximation to get the approximate solution and obtain error estimates. A numerical example is given to justify the theoretical analysis.
Related Topics
Physical Sciences and Engineering
Engineering
Computational Mechanics
Authors
Vo Anh Khoa, Tuan Nguyen Huy, Le Trong Lan, Nguyen Thi Yen Ngoc,