Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4641671 | Journal of Computational and Applied Mathematics | 2009 | 9 Pages |
Abstract
Ultraparabolic equations arise from the characterization of the performance index of stochastic optimal control relative to ultradiffusion processes; they evidence multiple temporal variables and may be regarded as parabolic along characteristic directions. We consider theoretical and approximation aspects of a temporally order and step size adaptive extrapolation discontinuous Galerkin method coupled with a spatial Lagrange second-order finite element approximation for a prototype ultraparabolic problem. As an application, we value a so-called Asian option from mathematical finance.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Michael D. Marcozzi,