Asymptotic expansions for degenerate parabolic equations

Abstract

none3We prove asymptotic convergence results for some analytical expansions of solutions of degenerate PDEs with applications to financial mathematics. In particular, we combine short-time and global-in-space error estimates, previously obtained in the uniformly parabolic case, with some a priori bounds on “short cylinders” and we achieve short-time asymptotic convergence of the approximate solution in the degenerate parabolic case.mixedAndrea Pascucci; Stefano PagliaraniAndrea Pascucci; Stefano Pagliaran