Article ID Journal Published Year Pages File Type
5776451 Journal of Computational and Applied Mathematics 2017 12 Pages PDF
Abstract

A system of weakly coupled semilinear parabolic equations of optimal portfolio in a regime-switching model is suggested by Valdez and Vargiolu (2013). To study the effects from the typical features of the system, i.e. the boundary degeneration, exponential non-linearity and mixed derivative, we consider a representative 2D Black-Scholes semilinear equation model. We construct and analyze sign preserving, flux limited finite difference schemes for the scalar problem. Numerical experiments are discussed.

Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
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