A new method for solving Kolmogorov equations in mathematical finance, - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Comptes Rendus. Mathématique Année : 2017

A new method for solving Kolmogorov equations in mathematical finance,

Résumé

We present an algorithm (CoDeFi) which overcomes the curse of dimensionality (CoD) in scientific computations and, especially, in mathematical finance (Fi). Our method applies a broad class of partial differential equations such as Kolmogorov-type equations and, for instance, the Black and Scholes equation. As a main feature, our algorithm allows one to solve partial differential equations in large dimensions and provides a general framework for stochastic problems. In insurance or finance applications, the number of dimensions corresponds to the number of risk sources and it is crucial to have a numerical method that remains robust and reliable in large dimensions.

Dates et versions

hal-03850275 , version 1 (13-11-2022)

Identifiants

Citer

Philippe G. Lefloch, Jean-Marc Mercier. A new method for solving Kolmogorov equations in mathematical finance,. Comptes Rendus. Mathématique, 2017. ⟨hal-03850275⟩
13 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More